上市公司承担社会责任影响股票市场表现吗——基于和讯网评级数据的实证检验  

The impact of social responsibility of listed companies on their stock market performance:an empirical test based on Hexun’s ratings

作　　者：沈红波[1] 田淳 宗赟 SHEN Hong-bo;TIAN Chun;ZONG Yun

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《东南大学学报（哲学社会科学版）》2021年第4期79-92,151,共15页Journal of Southeast University(Philosophy and Social Science)

基　　金：教育部人文社会科学重点研究基地重大项目“全球金融市场联动与中国经济增长研究”(16JJD790011);上海市哲学社会科学课题“国有企业实施员工持股计划的激励效应研究”(2018BJB006)成果之一。

摘　　要：基于和讯网社会责任评级数据,选取2015—2018年中国沪深A股上市公司作为研究样本,围绕企业社会责任对股票市场表现的影响机制进行研究。实证检验发现:①企业社会责任表现越好,股票收益率越高,同时股票波动率越低;②从影响机制进一步分析,社会责任表现较好的公司,伴随着更好的财务绩效、更高的盈余质量和投资效率,是股票市场表现较好的重要原因;③解构社会责任后发现,股东责任、环境责任和社会责任与财务绩效正相关,员工责任和供应商、客户和消费者权益责任与财务绩效负相关。研究结果整体上支持利益相关者理论,以我国的现实情境从理论和实证上回应了关于企业承担社会责任效果的分歧,并为社会责任投资这一新兴投资理念在我国的应用提供新的证据。With China’s accession to MSCI,there is rising demand from international investors for corporate social responsibility(CSR)data.Some institutions have started to provide quantitative CSR ratings.Based on the social responsibility ratings of Hexun,the Chinese listed companies in Shanghai and Shenzhen A-shares from 2015-2018 were sampled.The study was conducted around the influence mechanism of corporate social responsibility on stock market performance.The empirical test finds that:(1)Better CSR performance is associated with higher stock returns,accompanied by lower stock volatility;(2)From further analysis of the impact mechanism,the better social responsibility performance,accompanied by better financial performance,higher surplus quality and investment efficiency,are important reasons for better stock market performance;(3)By deconstructing social responsibility,it reveals that shareholder responsibility,environmental responsibility and social responsibility are positively related to financial performance,whereas employee responsibility and supplier,customer and consumer rights and responsibilities are negatively related to financial performance.The results of the study as a whole support the stakeholder theory.The study addresses the theoretical and empirical disagreements on the effects of corporate social responsibility in the context of China’s real situation and provides new evidence for application of socially responsible investment—an emerging investment concept—in China.

关 键 词：企业社会责任 投资者回报 财务绩效 盈余管理 投资效率 

分 类 号：F83[经济管理—金融学]