可持续发展是当代全球重要议题，企业的可持续经营和社会责任日益受到重视，绿色金融和ESG投资理念在世界范围内得到了迅速发展。在公众和投资人的密切关注下，ESG相关的媒体报道越来越多地出现在新闻版面，那么这些报道的出现是否会对企业的股票价格产生影响呢？本文创新性地以中国证券市场作为研究对象，考察了ESG新闻舆情对沪深300指数成分股股价造成的影响以及相关决定因素。本论文通过历史文献梳理和基于相关金融理论的推理，提出了6条核心假设，并通过一个两步假设检验法（包含事件研究和面板回归），分别对此6条假设进行检验。本文采用数行者科技报刊新闻ESG量化舆情数据库中2011-2020十年间日度ESG新闻舆情数据，以及来自Tushare量化金融平台和万得金融数据库的日度市场交易数据和季度企业财务数据，对沪深300指数成分股公司进行了实证分析。研究结果显示，正面的ESG新闻平均在3日内（11日内）为企业带来0.12%（0.13%）的股价提升，而负面ESG新闻则平均造成0.29%（0.55%）的企业市值缩水，正负面新闻的影响大小具有显著的不对称性。同时，研究发现相比于环境因素和社会责任因素，股价对于公司治理因素相关的新闻更为敏感。在影响的决定因素方面，本文发现新闻的文字情绪强度能显著地影响股价的波动；来自不同行业、具有不同资产规模的公司对ESG新闻的反映也有所不同；最后，随着时间的推移（从2011年至2020年），样本公司股价对于ESG新闻的异常回报绝对值逐渐增加。本文证实了中国上市公司股价对ESG新闻的反应以及相关影响因素，填补了国内对于此话题的学术研究空白，并为全球范围内的企业社会责任与企业财务绩效关联性研究领域增添了稀缺的来自中国市场的证据，为国内外学者今后的研究提供了一定的启示。同时，本研究提醒上市企业管理者ESG媒体舆情管理的重要性；也提示市场监管机构，企业通过不实ESG新闻操纵股价的潜在风险或许值得关注。
Sustainability has become an important contemporary global issue, and there is a growing interest in corporate social responsibility. With the rising attention of the public and investors, ESG-related news reports are increasingly appearing on the news pages. Does the appearance of these reports have an impact on corporate market value? This paper innovatively examines the impact of ESG news opinion on the share prices of China CSI 300 constituent stocks and the related determinants.Through a historical literature review and reasoning based on relevant financial theories, this paper proposes six core hypotheses and tests each of these six hypotheses through a two-step hypothesis testing approach (comprising an event study and a panel regression). The paper uses daily ESG news opinion data from the Datago Newspaper News ESG Quantitative Opinion Database for the decade 2011-2020, as well as daily market trading data and quarterly corporate financial data from the Tushare Quantitative Finance Platform and Wind Financial Database.The results show that positive ESG news brings an average of 0.12% (0.13%) share price increase in a 3-day (11-day) window, while negative ESG news causes an average of 0.29% (0.55%) market value shrinkage, displaying a significant asymmetry in the impact size of positive and negative news. The study also found that prices are more sensitive to news related to corporate governance factors than environmental and social responsibility factors. In terms of the determinants, the paper finds that the textual sentiment intensity of news significantly affects abnormal returns; that companies from different industries and with different asset sizes react differently to ESG news; and finally, that the absolute value of abnormal returns to ESG news increases over time through the decade for the sample companies.This paper fills a gap in the academic research on this topic in China. Meanwhile, this study reminds management teams of the importance of ESG media opinion management; it also suggests to market regulators that the potential risk of price manipulation through inaccurate ESG news may be worthy of attention.
