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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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    Cited by:

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    3. Yang, Zhonghai & Song, Pingting & Xu, Meng & Li, Yingmei, 2024. "Environmental, social and governance performance and equity mispricing: Does embedded information mediation matter?," Finance Research Letters, Elsevier, vol. 67(PB).
    4. Li, Ge & Cheng, Yuxiang, 2024. "Impact of environmental, social, and governance rating disagreement on real earnings management in Chinese listed companies," Global Finance Journal, Elsevier, vol. 62(C).
    5. Zhang, Hua & Zhang, Huaqing & Tian, Li & Yuan, Shengli & Tu, Yongqian, 2024. "ESG performance and litigation risk," Finance Research Letters, Elsevier, vol. 63(C).
    6. Zhu, Ruoyu & Tan, Kehu & Xin, Xiaohui, 2024. "Speed up for sustainable development: High-speed rail and corporate ESG performance," Energy Economics, Elsevier, vol. 138(C).
    7. Yousaf, Imran & Bejaoui, Azza & Ali, Shoaib & Li, Yanshuang, 2024. "Demystifying the dynamic relationship between news sentiment index and ESG stocks: Evidence from time-frequency wavelet analysis," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    8. Wang, Haijun & Jiao, Shuaipeng & Ge, Chen & Sun, Guanglin, 2024. "Corporate ESG rating divergence and excess stock returns," Energy Economics, Elsevier, vol. 129(C).
    9. Yuan Feng & Changfei Nie, 2024. "Digital technology innovation and corporate environmental, social, and governance performance: Evidence from a sample of listed firms in China," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(5), pages 3836-3854, September.
    10. Liu, Dayong & Gu, Kaiyuan & Hu, Wenhua, 2023. "ESG performance and stock idiosyncratic volatility," Finance Research Letters, Elsevier, vol. 58(PB).
    11. Li, Ying & Guo, Xu & Huang, Wei & Ma, Xiaomeng, 2024. "ESG rating and short selling in the corporate bond market," Finance Research Letters, Elsevier, vol. 61(C).
    12. Zhao, Shuai & Chen, Yan, 2024. "ESG rating and labor income share: Firm-level evidence," Finance Research Letters, Elsevier, vol. 63(C).

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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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