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ESG Disagreement and Stock Price Crash Risk: Evidence from China

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Abstract

The ESG ratings have been focused in response to the requirements for green development. However, the uncertainty created by ESG disagreements has caused market participants to question their reliability. This study empirically examines how ESG disagreements affect stock price crash risk based on data from Shanghai and Shenzhen A-share listed companies. We find that ESG disagreement significantly reduces stock price crash risk and that this relationship is largely driven by environmental disagreement. The mechanism analysis suggests that ESG disagreement increases media attention, subsequently leading to a reduction in stock price crash risk. Additional analysis shows that the driving effect of environmental disagreement is more significant in non-heavy-polluting industries. Positive environmental protection policies help reduce stock price crash risk.

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Acknowledgements

This work is supported by Philosophy and Social Science Grant of Jiangsu Province, China under Research Project No. 2020SJZDA070 and the National Natural Science Foundation of China with Grant Numbers 72071109, 71901123, 72141304, 71532009.

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Authors and Affiliations

  1. College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, China

    Minghua Dong & Miaomiao Li

  2. School of Finance, Nanjing University of Finance and Economics, Nanjing, China

    Hongxia Wang

  3. Strategy and Planning Department, China Life Insurance (Group) Company, Beijing, China

    Yuanyuan Pang

Authors
  1. Minghua Dong
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  2. Miaomiao Li
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  3. Hongxia Wang
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  4. Yuanyuan Pang
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Correspondence to Hongxia Wang.

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Appendix 1

Appendix 1

See Table 15

Table 15 Variable definitions
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Dong, M., Li, M., Wang, H. et al. ESG Disagreement and Stock Price Crash Risk: Evidence from China. Asia-Pac Financ Markets (2024). https://doi.org/10.1007/s10690-024-09453-y

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