企业社会责任对特质波动率与股票预期收益率的影响研究  

Research on the Impact of Corporate Social Responsibility on Idiosyncratic Volatility and Stock Expected Return

作　　者：杜安妮 

机构地区：[1]重庆大学公共管理学院,重庆

出　　处：《可持续发展》2023年第1期211-226,共16页Sustainable Development

摘　　要：企业社会责任是一种有效提高投资信息透明度以缓解信息不对称的策略选择,那么其是否可以缓解特质波动率在中国股票市场上错误定价问题?本文试图通过实证分析考察企业社会责任与“股票特质波动率之谜”的关系。本文选择2010年至2019年期间沪深A股上市公司作为研究样本,分别使用投资组合分组分析和Fama-Macbeth回归分析了企业社会责任与“特质波动率之谜”的关系。研究结果表明,企业社会责任可以一定程度上缓解特质波动率与股票预期收益率之间的关系,使用系数分解法后发现,企业社会责任的披露能解释15.85%的“特质波动率之谜”现象。进一步地,我们发现不同层面的企业社会责任对特质波动率与预期收益率的关系影响不同,股东责任是缓解“特质波动率之谜”的最重要因素。Corporate social responsibility is a strategic choice to effectively improve the transparency of in-vestment information to alleviate information asymmetry, so can it alleviate the mispricing of idi-osyncratic volatility in the Chinese stock market? This paper attempts to examine the relationship between corporate social responsibility and “the mystery of stock idiosyncratic volatility” through empirical analysis. This paper selects Shanghai and Shenzhen A-share listed companies from 2010 to 2019 as research samples, and uses portfolio group analysis and Fama-Macbeth regression to analyze the relationship between corporate social responsibility and the “idiosyncratic volatility puzzle”. The research results show that corporate social responsibility can alleviate the relationship between idiosyncratic volatility and stock expected return to a certain extent. After using the coefficient decomposition method, it is found that the disclosure of corporate social responsibility can explain 15.85% of the “idiosyncratic volatility puzzle” phenomenon. Further, we find that dif-ferent levels of corporate social responsibility have different effects on the relationship between idiosyncratic volatility and expected return, and shareholder responsibility is the most important factor to alleviate the “idiosyncratic volatility puzzle”.

关 键 词：企业社会责任 股票特质波动率 预期收益率 资产定价 

分 类 号：F83[经济管理—金融学] F270