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ESG performance and stock price fragility

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  • Wang, Hu
  • Shen, Hong
  • Li, Shouwei

Abstract

We investigate the relationship between ESG performance and stock price fragility using stock holdings and flow data from Chinese equity funds. We find a negative relationship between ESG performance and stock price fragility, and better ESG performance reduces stock price fragility. We further explore the channel through which ESG performance affects stock price fragility, and we find that better ESG performance reduces investors' sensitivity to stock performance, thus reducing stock price fragility.

Suggested Citation

  • Wang, Hu & Shen, Hong & Li, Shouwei, 2023. "ESG performance and stock price fragility," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004737
    DOI: 10.1016/j.frl.2023.104101
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    References listed on IDEAS

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    More about this item

    Keywords

    ESG performance; Stock price fragility; Fundamental; Stock performance sensitivity;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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