CSR and idiosyncratic risk: Evidence from ESG information disclosure

Feng He, Shuqi Qin, Yuanyuan Liu and Ji Wu

Finance Research Letters, 2022, vol. 49, issue C

Abstract: Using the corporate social responsibility (CSR) report disclosure as an external shock on investors’ heterogeneous belief in China, we find that firms with environmental, social and governance (ESG) information disclosure have lower idiosyncratic risk than their counterparts. This finding is robust to the parallel-trend assumption, placebo test, PSM-DID design, and alternative idiosyncratic risk calculation. We conclude that CSR engagement could reduce firms’ idiosyncratic risk by providing additional nonfinancial information to reduce investors’ opinion divergence.

Keywords: CSR; ESG; Idiosyncratic risk; Heterogeneous belief; China (search for similar items in EconPapers)
JEL-codes: G14 G32 M14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (64)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322001982

DOI: 10.1016/j.frl.2022.102936

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