Research On The Effect Of ESG Performance On Short Seller Trade

In recent years,with the inclusion of A-shares in the MSCI,FTSE Russell index,and China’s "double carbon" target,environmental,social and corporate governance(ESG)in the whole society,especially in the area of responsible investment,sustained and rapid growth.Previous academic research and investment practice generally believe that ESG investment can improve the ethical requirements of investment,improve the long-term return of investors,and promote the high-quality development of capital market and real economy.However,China’s ESG investment is still in the early stage of development,the implementation of the ESG concept and ESG rating are not yet mature,whether it can provide guidance for China’s responsible investment is not clear.Therefore,this paper makes use of the special identity of informed short seller and reverse trading behavior to explore the role of ESG performance in the current period of responsible investment.This paper analyzes the effect of ESG performance on short seller trade and its mechanism,as well as the effect of media coverage and management power on the relationship between ESG and short seller.Therefore,based on the theory of mispricing in the capital market and self-interest of management,using the data of listed companies in Shanghai and Shenzhen A-shares from 2011 to 2019,this paper constructs a fixed effect model of control time and industry effect,and adopts the method of multiple regression,this paper studies the effect of ESG performance on Short-seller’s trading behavior.The findings are as follows:(1)There is a positive correlation between ESG performance and short-seller trade,that is,ESG performance significantly increases short-seller trade,which is different from previous cognition of ESG performance.(2)Media coverage and management power have positive moderating effect on ESG performance and short sellers,that is,when media coverage is more and management power is more,the influence between the two is more significant.(3)Overvaluation and agency costs play an intermediary role between the two,indicating that the performance of ESG will lead to mispricing,more reflected in management’s selfinterest tools,this paper explains the mechanism of the effect of ESG performance on increasing short-seller trade.Through the above research,this paper puts forward corresponding policy suggestions from three aspects: increasing the consideration factors of securities lending,strengthening the performance supervision of enterprises ESG,and perfecting the disclosure system of ESG,it is of great significance to the construction of securities lending system and ESG system in China.