News-based ESG sentiment and stock price crash risk

Yu，Haixu; Liang，Chuanyu; Liu，Zhaohua; Wang，He

2023-07-01

10.1016/j.irfa.2023.102646

International Review of Financial Analysis   影响因子和分区

1057-5219

1873-8079

From the perspective of ESG news-based sentiment, we examine the impact of ESG performance on stock price crash risk. This paper constructs a sentiment index based on ESG news to measure public opinion of listed firms. First, there is a significant negative relationship between ESG news sentiment and stock price crash risk, indicating that higher ESG news sentiment can reduce the crash risk. Second, heterogeneity analysis demonstrates that ESG sentiment has a greater impact on crash risk reduction for firms with lower analyst coverage, lower information transparency, voluntary ESG information disclosure and non-state-owned. In addition, mechanism tests indicate that ESG sentiment affects stock price crash risk by reducing negative ESG incidents, information asymmetry, and agency costs. This paper examines the research inference that ESG news sentiment is beneficial in reducing stock price crash risk and expands the research on the governance mechanism of stock price crash risk.

Crash risk Information asymmetry Information transparency News-based ESG sentiment Stakeholder theory

SSCI

英语

第一 ; 通讯

Business & Economics

Business, Finance

WOS:000982900000001

ELSEVIER SCIENCE INC

2-s2.0-85152724740

Scopus

Department of Finance,Southern University of Science and Technology,518055,China

Yu，Haixu,Liang，Chuanyu,Liu，Zhaohua,et al. News-based ESG sentiment and stock price crash risk[J]. International Review of Financial Analysis,2023,88.

Yu，Haixu,Liang，Chuanyu,Liu，Zhaohua,&Wang，He.(2023).News-based ESG sentiment and stock price crash risk.International Review of Financial Analysis,88.

Yu，Haixu,et al."News-based ESG sentiment and stock price crash risk".International Review of Financial Analysis 88(2023).