The Value Effect of ESG Ratings during the COVID-19 - Empirical Evidence from Chinese A-Share Market

Cheng Liu

doi:10.54691/bcpbm.v47i.5191

Authors

Cheng Liu

DOI:

https://doi.org/10.54691/bcpbm.v47i.5191

Keywords:

ESG ratings; value effects; excess returns; quasi-natural experiments.

Abstract

Since 2020, the scale of ESG responsible investment in China has developed rapidly, and during the epidemic, the city was affected by the closure of roads. Although it is difficult to influence consumers' choice in the product market in the short term, investors in the stock market can "vote with their feet" in a timely manner, so how do investors perceive the ESG rating of the company? What is their perception of a company's ESG rating? This paper examines the role of ESG ratings in China's A-share market during the crisis, using the Xin Guan epidemic as an entry point, and concludes that (1) ESG ratings are significantly and positively correlated with short-term cumulative stock excess returns, and that company carbon intensity plays a moderating role in ; (2) in the long run, higher ESG ratings reduce stock price volatility; and (3) the epidemic enhances the correlation between ESG ratings and company stock price volatility. correlation level between ESG ratings and company share price volatility.

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