How ESG Performance Affect Stock Return Volatility:Evidence from Listed Companies in China
This paper examines the impact of ESG performance on stock return volatility using quarterly data of A-share listed companies from 2009 to 2021.We find that ESG can significantly and robustly reduce stock return volatility,and is more pronounced during market declines.We also find that high ESG reduces the stock return volatility by alleviating information asymmetry and attracting more long-term institutional investors'shareholdings.Fur-ther,we find that only S and G reached similar conclusions in the sub-ratings,while the impact of E on volatility only came into play after the 2013 haze event,and this relationship was more pronounced in non-SOEs.We also find that the conflict of shareholder objectives weakens the effect of ESG on vola-tility.Finally,we find that the effect of ESG on stock return volatility is conducive to improving the capital allocation efficiency of the real economy and promoting the stability of stock market.
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