ESG Performance and Stock Price Volatility

Environmental, social and governance (ESG) has emerged over the past two decades as a crucial ethical construct in modern economies. This paper selects ESG rating of A-share listed companies from 2020 to 2021 to explore the impact of ESG performance on stock price fluctuation, and further study the relationship between ESG rating disagreement and stock price fluctuation. It is found that the stock price volatility of companies with good ESG performance is lower than that of companies with poor performance, and this finding remains robust under the conditions of non-state-owned enterprises or industrial enterprises due to differences in the nature of corporate ownership and the industry in which the company is located. The study findings enrich the academic literature and can help investors in the investment decisions making.