“多言寡行”环境责任表现对股价崩盘风险的影响——基于投资者情绪的中介效应

doi:10.16381/j.cnki.issn1003-207x.2023.1361

Abstract

Abstract:

As environmental issues become an important global issue， people are increasingly concerned about environmental issues， requiring enterprises to assume more social responsibilities in environmental protection. Some enterprises exhibit “more words than deeds” behavior when fulfilling their environmental responsibilities， which seriously undermines investor confidence and produces irrational emotions， potentially triggering stock market volatility and even leading to crash risks. Therefore， from the investor sentiment perspective， exploring the impact path of “more words than deeds” environmental responsibility performance on stock price crash risk is significant. Listed companies in China's Shanghai and Shenzhen A-share markets are selected as research samples. Integrating text analysis technology with panel regression models and mediation test models systematically investigates the impact of “more words than deeds” environmental responsibility performance on stock price crash risk and the mediating role of investor sentiment. The results show that the “more words than deeds” performance of corporate environmental responsibility significantly exacerbates stock price crash risk， which is more evident with the rising investor sentiment. The environmental responsibility of enterprises with “more words than deeds” has a significant “crash effect” in main board and non-major regulatory enterprises. The indirect effect of investor sentiment is significantly positive in non-main board and non-major regulatory enterprises. There are essential enlightenment and reference significance for promoting the construction of ecological civilization and stabilizing the capital market in this study.

Key words: environmental responsibility performance, stock price crash risk, investor sentiment, mediation effect, text analysis

CLC Number:

F382.5

Wanhai You,Senjie Chen,Jianyong Chen, et al. The Impact of “More Words Than Deeds” on Environmental Responsibility on Stock Price Crash Risk: The Mediation Effect of Investor Sentiment[J]. Chinese Journal of Management Science, 2025, 33(10): 12-23.

Figures/Tables 9

变量	样本量	平均值	标准差	最小值	最大值	中位数	偏度	峰度
$N C S K E W$	12078	-0.411	0.786	-2.653	1.929	-0.369	-0.128	4.014
$D U V O L$	12078	-0.282	0.495	-1.483	1.110	-0.287	0.126	3.108
$D Y G X$	12078	0.167	0.373	0	1	0	1.782	4.177
$S e n t i m e n t$	12078	2.649	2.222	-3.234	9.124	2.606	0.096	3.366
$D t u r n t$	12078	-0.054	0.431	-1.617	0.990	-0.012	-0.829	5.273
$S i g m a$	12078	0.068	0.031	0.024	0.180	0.061	1.345	4.871
$L e v$	12078	0.411	0.188	0.063	0.859	0.406	0.175	2.263
$M B$	12078	0.333	0.154	0.056	0.800	0.310	0.712	3.292
$R o a$	12078	0.039	0.063	-0.252	0.213	0.037	-1.164	8.738
$H o l d e r$	12078	0.398	0.226	0.004	0.860	0.410	-0.020	2.018
$S i z e$	12078	22.350	1.137	20.130	25.810	22.240	0.550	3.195

变量	(1)	(2)	(3)	(4)
变量	$N C S K E W$	$D U V O L$	$N C S K E W$	$D U V O L$
$D Y G X$	0.0429^**	0.0288^**	0.0429^**	0.0289^**
$D Y G X$	(0.0302)	(0.0257)	(0.0416)	(0.0210)
$S e n t i m e n t$			0.0182^**	0.0091^*
$S e n t i m e n t$			(0.0145)	(0.0946)
$D t u r n t$			-0.0363^***	-0.0245^***
$D t u r n t$			(0.0033)	(0.0013)
$S i g m a$			2.0705^***	0.9324^***
$S i g m a$			(0.0001)	(0.0007)
$L e v$			-0.8287^***	-0.5429^***
$L e v$			(0.0000)	(0.0000)
$M B$			-1.0501^***	-0.6978^***
$M B$			(0.0000)	(0.0000)
$R o a$			0.2765^*	0.1990
$R o a$			(0.0580)	(0.1030)
$H o l d e r$			0.1658^**	0.1318^***
$H o l d e r$			(0.0291)	(0.0006)
$S i z e$			0.1585^***	0.1015^***
$S i z e$			(0.0000)	(0.0000)
$C o n s t a n t$	-0.4177^***	-0.2873^***	-3.5392^***	-2.2499^***
$C o n s t a n t$	(0.0000)	(0.0000)	(0.0000)	(0.0000)
企业/年份/行业效应	是	是	是	是
样本量	12078	12078	12078	12078
$R 2$	0.2351	0.2398	0.2509	0.2560

路径	效应	效应系数	p值	Sobel Z
$D Y G X — S e n t i m e n t$	-	0.1855^***	0.0004	0.0020^**
$S e n t i m e n t — N C S K E W$	-	0.0110^***	0.0014
$D Y G X — S e n t i m e n t — N C S K E W$	直接效应	0.0250	0.2137
$D Y G X — S e n t i m e n t — N C S K E W$	间接效应	0.0020^**	0.0222
$D Y G X — S e n t i m e n t — N C S K E W$	总效应	0.0270	0.1765
$D Y G X — S e n t i m e n t — N C S K E W$	中介效应占比	0.0741
$D Y G X — S e n t i m e n t$	-	0.1855^***	0.0004	0.0011^**
$S e n t i m e n t — D U V O L$	-	0.0059^***	0.0045
$D Y G X — S e n t i m e n t — D U V O L$	直接效应	0.0198	0.1334
$D Y G X — S e n t i m e n t — D U V O L$	间接效应	0.0011^**	0.0259
$D Y G X — S e n t i m e n t — D U V O L$	总效应	0.0208	0.1135
$D Y G X — S e n t i m e n t — D U V O L$	中介效应占比	0.0529

路径	效应	效应系数	p值	Sobel Z
$D Y G X — S e n t i m e n t$	-	0.1873^***	0.0005	0.0026^**
$S e n t i m e n t — N C S K E W$	-	0.0138^***	0.0001
$D Y G X — S e n t i m e n t — N C S K E W$	直接效应	0.0064	0.7376
$D Y G X — S e n t i m e n t — N C S K E W$	间接效应	0.0026^**	0.0188
$D Y G X — S e n t i m e n t — N C S K E W$	总效应	0.0090	0.6400
$D Y G X — S e n t i m e n t — N C S K E W$	中介效应占比	0.2889
$D Y G X — S e n t i m e n t$	-	0.1873^***	0.0005	0.0013^**
$S e n t i m e n t — D U V O L$	-	0.0070^***	0.0011
$D Y G X — S e n t i m e n t — D U V O L$	直接效应	0.0114	0.3084
$D Y G X — S e n t i m e n t — D U V O L$	间接效应	0.0013^**	0.0377
$D Y G X — S e n t i m e n t — D U V O L$	总效应	0.0127	0.2600
$D Y G X — S e n t i m e n t — D U V O L$	中介效应占比	0.1024

变量	重点监管		非重点监管		主板		非主板
变量	$N C S K E W$	$D U V O L$	$N C S K E W$	$D U V O L$	$N C S K E W$	$D U V O L$	$N C S K E W$	$D U V O L$
$D Y G X$	0.0504	0.0275	0.0494^**	0.0296^**	0.0693^**	0.0414^**	0.0252	0.0204
$D Y G X$	(0.1876)	(0.4034)	(0.0287)	(0.0477)	(0.0437)	(0.0320)	(0.2332)	(0.2233)
$C o n s t a n t$	-6.0591^***	-4.8891^***	-3.3355^***	-2.0210^***	-1.3023	-1.1096	-4.9941^***	-3.0389^***
$C o n s t a n t$	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.1308)	(0.1287)	(0.0000)	(0.0000)
控制变量	是	是	是	是	是	是	是	是
企业/年份/行业效应	是	是	是	是	是	是	是	是
样本量	2871	2871	8952	8952	5736	5736	6342	6342
$R 2$	0.3997	0.3898	0.2803	0.2888	0.2516	0.2510	0.2583	0.2659

变量	重点监管		非重点监管		主板		非主板
变量	$N C S K E W$	$D U V O L$	$N C S K E W$	$D U V O L$	$N C S K E W$	$D U V O L$	$N C S K E W$	$D U V O L$
Bootstrap间接效应	0.0014	-0.0004	0.0021^**	0.0013^**	0.0017	0.0011	0.0020^*	0.0010^*
Bootstrap间接效应	(0.5587)	(0.7873)	(0.0274)	(0.0396)	(0.1462)	(0.1841)	(0.0620)	(0.0988)
样本量	2997	2997	9081	9081	5736	5736	6342	6342

变量	(1)	(2)	(3)	(4)
变量	$N C S K E W$	$D U V O L$	$N C S K E W$	$D U V O L$
$D Y G X$	0.0338^**	0.0198^*	0.0341^*	0.0202^*
$D Y G X$	(0.0476)	(0.0685)	(0.0609)	(0.0618)
$C o n s t a n t$	-0.3242^***	-0.2083^***	-3.0926^***	-1.7566^***
$C o n s t a n t$	(0.0000)	(0.0000)	(0.0000)	(0.0001)
控制变量	否	否	是	是
企业/年份/行业效应	是	是	是	是
样本量	12078	12078	12078	12078
$R 2$	0.2259	0.2322	0.2377	0.2424

变量	(1)	(2)	(3)	(4)
变量	$N C S K E W$	$D U V O L$	$N C S K E W$	$D U V O L$
$D Y G X$	0.0361^*	0.0238^*	0.0344^*	0.0228^*
$D Y G X$	(0.0511)	(0.0639)	(0.0872)	(0.0616)
$C o n s t a n t$	-0.4284^***	-0.2941^***	-3.3097^***	-2.1179^***
$C o n s t a n t$	(0.0000)	(0.0000)	(0.0000)	(0.0000)
控制变量	否	否	是	是
企业/年份/行业效应	是	是	是	是
样本量	11537	11537	11537	11537
$R 2$	0.2416	0.2468	0.2570	0.2629

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The Impact of “More Words Than Deeds” on Environmental Responsibility on Stock Price Crash Risk: The Mediation Effect of Investor Sentiment

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[11]	CHEN Wen-bo, CHEN Lang-nan. Reactions of Stock Investors to Earnings Announcements——A Perspective from Gambling Preference [J]. Chinese Journal of Management Science, 2021, 29(9): 1-11.
[12]	LIU Xing, SU Chun, SHAO Huan. Excess Control of Family Board Seats and Stock Price Crash Risk——Based on the Perspective of Related Party Transactions [J]. Chinese Journal of Management Science, 2021, 29(5): 1-13.
[13]	XIANG Cheng, YANG Jun. Who Gambles in the Market? A Study on Mutual Funds’ Preferences for Lottery-like Stocks [J]. Chinese Journal of Management Science, 2021, 29(11): 224-236.
[14]	ZHANG Bo, HU Wen-xiu, YANG Xi-an. Research on the Formatting Mechanism of Investor Sentiment [J]. Chinese Journal of Management Science, 2021, 29(1): 185-195.
[15]	HUANG Chuang-xia, WEN Shi-gang, YANG Xin, WEN Feng-hua, YANG Xiao-guang. The Interactive Relationship between Individual Investor Sentiment and Stock Price Behaviors [J]. Chinese Journal of Management Science, 2020, 28(3): 191-200.