上市企业环保信息披露与股票投资者社会环境偏好

本文分析了2008—2014年A股市场对强制披露的企业社会责任报告中环保信息的反应,展示了我国股票投资者社会环境偏好的变化过程。虽然近年来我国人均收入已经处于环境库兹涅茨曲线的排放拐点附近,但是目前鲜有国内研究对公众的社会环境偏好变化过程进行分析。本文分三个部分对股票市场投资者的社会环境偏好进行检验:首先,利用事件分析法展示了7年间股票投资者的整体态度,发现由环保信息披露引起的累积超额回报率显著大于零,说明投资者平均持积极态度。其次,使用倾向得分匹配双重差分法检验环境监管政策加强带来的影响,一方面《大气污染防治行动计划》的实施使得投资者态度从负面向正面转变,说明投资者环境偏好受政策影响显著;另一方面《大气污染防治行动计划》的实施显著提高了国有企业环保行为的水平。最后,通过对政策效应的形成机制进行检验发现,我国上市公司的环保行为在投资者眼中并不只是为了完成社会责任信息披露的政策指令而实施,而是股票投资者已经形成社会环境偏好,使得企业具有构建"绿色企业形象"的需求。另外,由于本文的研究对象是强制披露的企业社会责任报告,所以有效规避了西方相关研究中自愿披露导致的自我选择问题,但同时西方学者普遍对我国强制披露的企业社会责任报告所包含的信息持怀疑态度,因此本文通过利用情绪分析程序对环保信息的信息有效性进行检验,结果显示文本情绪的强弱与股票价格波动幅度有正相关关系,说明企业环保信息是投资者决策信息集的一部分,即强制披露的企业社会责任报告包含有效信息。

Environmental information disclosure from public firm and the investor's social and environmental preference

Through testing stock market reaction to the environmental information disclosure in the mandatory corporate social responsibility (hereafter, CSR) report, this paper explains the changing process of Chinese investor's social and environmental preference during the years from 2008 to 2014.Although Chinese annual per capita GDP has already reached the knee point of Environmental Kuznets Curve, Chinese studies rarely focus on the public social and environmental preferences.This paper is divided into three parts to test investors' preferences: First, we use event study method to test the sign of accumulating abnormal returns aroused by the environmental information disclosure, which is above zero and indicates that stock investors have generally positive attitudes to corporate environmental performances.Second, we employ Kernel Propensity Score Marching Difference in Differences method to evaluate the impact of the environmental policy on the stock market.On one hand, it is found that the enactment of the Air Pollution Prevent and Control Action Plan (hereafter, the Air Plan) in 2013 helps the investor to form the environmental preference.On the other hand, the enactment of the Air Plan significantly improves corporate environmental performances, especially for state-owned firms.Lastly, through testing the formation mechanism of policy effects, we find that Chinese corporate environmental performances are not enforced to response to the policy of mandatory CSR reports.The investor's social and environmental preference makes public firms have the demand to set up a green business image.In addition, this paper studies the mandatory environmental disclosure which is free from self-selection problems, but earlier studies suggest that the enforcing mandatory CSR report often produces 'windows dressing' or biased disclosure.To test information efficiency of mandatory CSR reports, we use a sentiment analysis to show that the 'tone' of textual information about corporate environmental performances has the positive relation with stock price fluctuation in the short run.This result indicates that the information included in CSR reports is a part of the investor's information set, which means the information in CSR reports is efficient.