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CSR and idiosyncratic risk: Evidence from ESG information disclosure

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Listed:
  • He, Feng
  • Qin, Shuqi
  • Liu, Yuanyuan
  • Wu, Ji (George)

Abstract

Using the corporate social responsibility (CSR) report disclosure as an external shock on investors’ heterogeneous belief in China, we find that firms with environmental, social and governance (ESG) information disclosure have lower idiosyncratic risk than their counterparts. This finding is robust to the parallel-trend assumption, placebo test, PSM-DID design, and alternative idiosyncratic risk calculation. We conclude that CSR engagement could reduce firms’ idiosyncratic risk by providing additional nonfinancial information to reduce investors’ opinion divergence.

Suggested Citation

  • He, Feng & Qin, Shuqi & Liu, Yuanyuan & Wu, Ji (George), 2022. "CSR and idiosyncratic risk: Evidence from ESG information disclosure," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322001982
    DOI: 10.1016/j.frl.2022.102936
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    More about this item

    Keywords

    CSR; ESG; Idiosyncratic risk; Heterogeneous belief; China;
    All these keywords.

    JEL classification:

    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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