Which CSR Dimension Matters in Stock Price Crash Risk? Evidence from China

35 Pages Posted: 19 Sep 2022

See all articles by Chunying Wu

Chunying Wu

Tianjin University

Xiong Xiong

College of Management and Economics and China Center for Social Computing and Analytics

Ya Gao

Dalian University of Technology

Abstract

This paper examines the influence of CSR performance and its three dimensions on price crash risks. Using a comprehensive sample of A-share stocks from 2011 to 2018, we find that CSR performance significantly mitigates future price crash risks, and this influence is mainly from the governance and environmental dimensions. Besides, we find that firm undervaluation has a significant moderating effect on the relationship between CSR performance and stock crash risk, and the impact of CSR performance on the mitigation of crash risk is more pronounced during financial crisis periods. Finally, we demonstrate that when a firm is not subject to NEIP or if it is in a region with better air quality, environmental responsibility more significantly reduces future stock price crashes, and the impacts of governance dimensions are more prominent when a firm has higher agency problems, less transparency, and poorer management reputations.

Keywords: CSR, Environmental responsibility, Social responsibility, Governance responsibility, Crash risk

Suggested Citation

Wu, Chunying and Xiong, Xiong and Gao, Ya, Which CSR Dimension Matters in Stock Price Crash Risk? Evidence from China. Available at SSRN: https://ssrn.com/abstract=4221749 or http://dx.doi.org/10.2139/ssrn.4221749

Chunying Wu

Tianjin University ( email )

92, Weijin Road
Nankai District
Tianjin, 300072
China

Xiong Xiong

College of Management and Economics and China Center for Social Computing and Analytics ( email )

92, Weijin Road
Nankai District
Tianjin, Tianjin 300072
China

Ya Gao (Contact Author)

Dalian University of Technology ( email )

No. 2 Linggong Road
Ganjingzi District
Dalian, Liaoning 116024
China

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