CSR performance and firm idiosyncratic risk in a data-rich environment: The role of retail investor attention

被引：14

作者：

He, Feng ^{[1
,5
]}

Liu, Guanchun ^{[2
]}

Hao, Jing ^{[3
,5
]}

Li, Youwei ^{[4
]}

机构：

[1] Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China

[2] Sun Yat Sen Univ, Lingnan Coll, Guangzhou, Peoples R China

[3] Capital Univ Econ & Business, Sch Accounting, Beijing 100070, Peoples R China

[4] Univ Hull, Sch Business, Kingston Upon Hull HU6 7RX, England

[5] Lab Fintech & Risk Management, Tianjin 300222, Peoples R China

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2023年 / 89卷

关键词：

CSR; Idiosyncratic risk; Retail investor attention; Chinese financial market; CORPORATE SOCIAL-RESPONSIBILITY; PRICE SYNCHRONICITY EVIDENCE; CROSS-SECTION; INFORMATION-CONTENT; EMERGING MARKETS; VOLATILITY; GOVERNANCE; DETERMINANTS; ATTRIBUTES; OWNERSHIP;

D O I：

10.1016/j.intfin.2023.101877

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In the Chinese stock market, there are many retail investors who focus on short-term profits and may consider corporate social responsibility (CSR) differently from institutional investors. We find that CSR significantly reduces firms' idiosyncratic risk in the Chinese financial market. This result still holds after a series of robustness checks with potential endogeneity concerns. We further test the role of CSR as a nonfinancial informational supplement, the interplay of CSR with stock analyst forecasts and the effect of heterogeneity in corporate governance characteristics. Finally, we find that retail investors' attention mediates the relationship between CSR and firms' idiosyncratic risk. Our results have general implications for understanding the impact of CSR on retail investors.

引用

页数：22