Is the Social Responsibility Information Disclosed by the Companies really Valuable?—Evidence from Chinese Stock Price Synchronicity
Abstract
:1. Introduction
2. Literature Review and Research Hypothesis
2.1. CSR and Stock Price Synchronicity
2.2. CSR, Disclosure Motivation, and Stock Price Synchronicity
2.3. CSR, External Information Concern Subject, and Stock Price Synchronicity
3. Empirical Study Design
3.1. Sample Selection and Data Sources
3.2. Definition of Main Variables
3.3. Empirical Model
4. Analysis of Empirical Results
4.1. Descriptive Statistics
4.2. Correlation Test
4.3. Regression Analysis
4.4. Robustness Test
5. Conclusions and Suggestions
Author Contributions
Funding
Conflicts of Interest
References
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Variable Name | Variable Symbol | Metric Method |
---|---|---|
Stock price synchronicity | SYNCH | Ln (R2/(1 − R2)) |
Whether to disclose CSR | CSR1 | The value is 1 if the CSR report is disclosed, otherwise 0 |
CSR disclosure level | CSR2 | The logarithm of the CSR report score by RKS |
Institutional ownership | INST | Shareholding ratio of institutional investors |
Analyst coverage | ANALYST | LN (the number of analysts + 1) |
Media coverage | MEDIA | LN (the number of news reports + 1) |
Firm size | SIZE | LN (total sales) |
Circulation market value | MVE | Market value of circulation |
Return on equity | ROE | The ratio of net profit to annual net assets |
Market-to-book ratio | MB | The ratio of total market value to book value |
Stock turnover | TURN | LN (annual turnover rate of stock) |
Listed years | AGE | LN (listed years of the company) |
Skewness | SKEW | Skewness of the rate of return |
Kurtosis | KUR | Kurtosis of the rate of return |
Standard deviation | STD | Standard deviation of the rate of return |
Volatility of return | SROE | The volatility of return on assets over the past three years |
Variable | N | Mean | Median | Minimum | Maximum | St. Dev |
---|---|---|---|---|---|---|
R2 | 11,518 | 0.301 | 0.000 | 0.000 | 1.000 | 0.459 |
SYNCH | 11,518 | −1.631 | −2.000 | −10.000 | 1.000 | 1.030 |
CSR1 | 11,518 | 0.251 | 0.000 | 0.000 | 1.000 | 0.434 |
CSR2 | 2891 | 3.641 | 4.000 | 3.000 | 4.000 | 0.480 |
INST | 11,518 | 9.474 | 5.000 | −8.000 | 93.000 | 12.521 |
ANALYST | 11,518 | 1.623 | 2.000 | 0.000 | 4.000 | 1.132 |
MEDIA | 11,518 | 5.959 | 7.000 | 0.000 | 9.000 | 2.518 |
SIZE | 11,518 | 3.454 | 3.000 | −1.000 | 10.000 | 1.324 |
MVE | 11,518 | 3.854 | 4.000 | 1.000 | 10.000 | 0.978 |
ROE | 11,518 | 8.356 | 8.000 | −421.000 | 466.000 | 16.109 |
MB | 11,518 | 4.011 | 3.000 | −343.000 | 1648.000 | 18.906 |
TURN | 11,518 | 2.751 | 2.000 | 0.000 | 17.000 | 2.077 |
AGE | 11,518 | 2.160 | 2.000 | 1.000 | 3.000 | 0.793 |
SKEW | 11,518 | 0.118 | 0.000 | −3.000 | 13.000 | 0.466 |
KUR | 11,518 | 1.518 | 1.000 | −1.000 | 188.000 | 2.875 |
STD | 11,518 | 3.045 | 3.000 | 1.000 | 20.000 | 1.078 |
SROE | 11,518 | 6.436 | 3.000 | 0.000 | 844.000 | 16.099 |
Frequency | Percentage | Valid Percentage | Accumulative Percentage | ||
---|---|---|---|---|---|
Valid | 0 | 8627 | 74.900 | 74.900 | 74.900 |
1 | 2891 | 25.100 | 25.100 | 100 | |
Total | 11,518 | 100 | 100 |
Levene Test of Variance Equation | T Test of Mean Value Equation | |||||
---|---|---|---|---|---|---|
F | Sig. | t | df | Sig. (Bilateral) | ||
SYNCH | Equal variances assumed | 2.017 | 0.156 | −16.392 *** | 11,516 | 0.000 |
Equal variances not assumed | −16.572 *** | 5060.038 | 0.000 |
SYNCH | CSR1 | CSR2 | INST | ANALYST | MEDIA | SIZE | MVE | ROE | MB | TURN | AGE | SKEW | KUR | STD | SROE | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SYNCH | 1 | |||||||||||||||
CSR1 | 0.151 | 1 | ||||||||||||||
CSR2 | 0.155 | 0.988 | 1 | |||||||||||||
INST | −0.054 | 0.054 | 0.054 | 1 | ||||||||||||
ANALYST | 0.127 | 0.234 | 0.238 | 0.460 | 1 | |||||||||||
MEDIA | 0.005 | 0.166 | 0.165 | −0.088 | −0.029 | 1 | ||||||||||
SIZE | 0.247 | 0.452 | 0.467 | 0.017 | 0.319 | 0.305 | 1 | |||||||||
MVE | 0.241 | 0.415 | 0.427 | 0.199 | 0.508 | 0.220 | 0.718 | 1 | ||||||||
ROE | 0.111 | 0.083 | 0.081 | 0.181 | 0.309 | 0.006 | 0.089 | 0.225 | 1 | |||||||
MB | −0.036 | −0.034 | −0.035 | 0.010 | −0.028 | 0.004 | −0.094 | −0.011 | −0.182 | 1 | ||||||
TURN | −0.003 | −0.211 | −0.209 | −0.079 | −0.153 | −0.277 | −0.339 | −0.243 | −0.042 | 0.008 | 1 | |||||
AGE | 0.002 | 0.173 | 0.173 | −0.114 | −0.175 | 0.389 | 0.309 | 0.142 | −0.091 | 0.027 | −0.275 | 1 | ||||
SKEW | −0.233 | 0.097 | 0.102 | −0.056 | −0.039 | 0.089 | 0.164 | 0.049 | −0.054 | −0.013 | −0.108 | 0.124 | 1 | |||
KUR | −0.205 | 0.035 | 0.036 | −0.080 | −0.063 | 0.060 | 0.071 | −0.019 | −0.040 | −0.023 | −0.167 | 0.050 | 0.532 | 1 | ||
STD | 0.131 | −0.106 | −0.097 | −0.003 | −0.081 | −0.150 | −0.135 | −0.033 | −0.080 | 0.030 | 0.611 | −0.014 | −0.022 | −0.111 | 1 | |
SROE | −0.097 | −0.064 | −0.066 | −0.021 | −0.082 | −0.025 | −0.090 | −0.060 | −0.095 | 0.187 | 0.017 | −0.007 | −0.001 | 0.018 | −0.021 | 1 |
Variable | Whether to Disclose | Disclosure Level | Mandatory | Semi-Mandatory | Voluntary |
---|---|---|---|---|---|
CSR1 | 0.154 *** | - | - | - | - |
(7.490) | |||||
CSR2 | - | 0.071 ** | 0.072 | 0.129 | 0.058 |
(2.062) | (1.611) | (0.919) | (1.024) | ||
SIZE | 0.115 *** | 0.056 *** | 0.067 *** | 0.034 | 0.026 |
(14.969) | (3.456) | (3.312) | (0.554) | (0.839) | |
MVE | 0.021 * | 0.084 *** | 0.083 *** | −0.037 | 0.155 *** |
(1.715) | (3.701) | (2.922) | (−0.374) | (3.382) | |
ROE | 0.002 *** | −0.000 | −0.006 *** | 0.007 * | 0.002 |
(3.537) | (−0.080) | (−2.894) | (1.864) | (1.605) | |
MB | −0.001 | −0.054 *** | −0.026 *** | −0.013 | −0.133 *** |
(−1.361) | (−7.665) | (−3.083) | (−0.405) | (−7.958) | |
TURN | −0.020 *** | −0.019 | −0.013 | −0.154 *** | −0.013 |
(−3.749) | (−1.4320) | (−0.660) | (−2.862) | (−0.644) | |
AGE | −0.120 *** | −0.063 *** | −0.039 | −0.117 | −0.057 |
(−10.415) | (−2.676) | (−1.163) | (−1.120) | (−1.412) | |
SKEW | −0.289 *** | −0.170 *** | −0.089 * | −0.268 * | −0.321 *** |
(−13.925) | (−4.495) | (−1.847) | (−1.655) | (−4.722) | |
KUR | −0.012 *** | −0.031 *** | −0.031 ** | −0.057 | −0.019 *** |
(−3.518) | (−3.6560) | (−2.059) | (−0.924) | (−1.688) | |
STD | −0.173 *** | −0.124 *** | −0.146 *** | −0.046 | −0.093 * |
(−12.099) | (−4.228) | (−3.744) | (−0.393) | (−1.911) | |
SROE | −0.004 *** | −0.001 | −0.002 | −0.001 | −0.000 |
(−7.385) | (−0.602) | (−0.606) | (−0.222) | (−0.037) | |
Intercept | 0.111 | −0.549 ** | −0.428 | −0.736 | −1.032 *** |
(1.097) | (−2.375) | (−1.389) | (−0.752) | (−2.693) | |
INDUSTRY | YES | YES | YES | YES | YES |
YEAR | YES | YES | YES | YES | YES |
N | 11517 | 2890 | 1690 | 207 | 991 |
F | 188.616 *** | 57.830 *** | 38.578 *** | 7.926 *** | 20.496 *** |
Adj-R2 | 0.336 | 0.379 | 0.400 | 0.445 | 0.355 |
Hausman Test | Chi-square statistic | Chi-square d.f. | Prob > chi2 | ||
Ho: difference in coefficients not systematic | 374.900 *** | 12.000 | 0.000 |
Variable | Whether to Disclose | Disclosure Level | Mandatory | Semi-Mandatory | Voluntary |
---|---|---|---|---|---|
CSR1 | 0.147 ** | - | - | - | - |
(1.995) | |||||
CSR2 | - | 0.064 | 0.054 | 0.291 * | 0.042 |
(1.517) | (0.970) | (1.890) | (0.588) | ||
INST | −0.012 *** | 0.002 | −0.004 | 0.137 ** | −0.003 |
(−14.181) | (0.113) | (−0.223) | (2.075) | (−0.090) | |
ANALYST | 0.029 *** | 0.019 | 0.044 | 0.268 | −0.008 |
(2.784) | (0.389) | (0.712) | (1.366) | (−0.091) | |
MEDIA | −0.035 *** | −0.086 ** | −0.099 ** | −0.090 | −0.058 |
(−9.405) | (−2.306) | (−2.002) | (−0.549) | (−0.847) | |
INST*CSR | 0.001 | −0.003 | −0.001 | −0.046 ** | −0.002 |
(0.630) | (−0.799) | (−0.222) | (−2.537) | (−0.300) | |
ANALYST*CSR | −0.043 ** | −0.011 | −0.023 | −0.059 | 0.011 |
(−2.404) | (−0.798) | (−1.287) | (−1.092) | (0.461) | |
MEDIA*CSR | 0.012 | 0.017 | 0.022 * | 0.024 | 0.008 |
(1.173) | (1.631) | (1.756) | (0.531) | (0.427) | |
SIZE | 0.115 *** | 0.053 *** | 0.063 *** | 0.020 | 0.025 |
(14.873) | (3.309) | (3.127) | (0.332) | (0.802) | |
MVE | 0.054 *** | 0.104 *** | 0.092 *** | 0.067 | 0.172 *** |
(4.160) | (4.266) | (2.984) | (0.642) | (3.498) | |
ROE | 0.003 *** | 0.002 | −0.003 | 0.008 ** | 0.003 * |
(5.178) | (1.428) | (−1.207) | (2.259) | (1.869) | |
MB | −0.000 | −0.050 *** | −0.025 *** | −0.002 | −0.126 *** |
(−0.828) | (−7.024) | (−3.002) | (−0.055) | (−7.538) | |
TURN | −0.035 *** | −0.030 ** | −0.024 | −0.160 *** | −0.021 |
(−6.438) | (−2.244) | (−1.235) | (−3.148) | (−1.043) | |
AGE | −0.104 *** | −0.046 * | −0.029 | −0.047 | −0.040 |
(−8.524) | (−1.925) | (−0.874) | (−0.450) | (−0.964) | |
SKEW | −0.281 *** | −0.174 *** | −0.091 * | −0.274 * | −0.314 *** |
(−13.716) | (−4.641) | (−1.915) | (−1.761) | (−4.657) | |
KUR | −0.015 *** | −0.035 *** | −0.040 *** | −0.117 * | −0.019 * |
(−4.665) | (−4.249) | (−2.646) | (−1.951) | (−1.785) | |
STD | −0.160 *** | −0.120 *** | −0.141 *** | −0.061 | −0.095 * |
(−11.301) | (−4.116) | (−3.610) | (−0.551) | (−1.946) | |
SROE | −0.004 *** | −0.001 | −0.003 | −0.004 | −0.000 |
(−7.711) | (−1.043) | (−0.871) | (−0.641) | (−0.171) | |
Intercept | 0.190 * | −0.420 | −0.217 | −1.301 | −0.916 ** |
(1.842) | (−1.625) | (−0.596) | (−1.293) | (−2.176) | |
INDUSTRY | YES | YES | YES | YES | YES |
YEAR | YES | YES | YES | YES | YES |
N | 11517 | 2890 | 1690 | 207 | 991 |
F | 172.927 *** | 52.090 *** | 33.764 *** | 8.275 *** | 18.166 *** |
Adj-R2 | 0.356 | 0.395 | 0.411 | 0.513 | 0.371 |
CSR1 | CSR2 | Mandatory | Semi-Mandatory | Voluntary | |
---|---|---|---|---|---|
CSR1 | 0.221 *** | - | - | - | - |
(7.662) | |||||
CSR2 | - | 0.112 *** | 0.103 ** | 0.356 ** | 0.105 |
(2.907) | (2.029) | (2.504) | (1.603) | ||
INST | −0.008 *** | 0.020 | 0.001 | 0.253 ** | 0.056 |
(−4.095) | (0.827) | (0.051) | (2.108) | (1.131) | |
INSTsq | −0.000 * | −0.001 | −0.000 | −0.003 | −0.002 |
(−1.764) | (−1.254) | (−0.654) | (−1.124) | (−1.438) | |
INST *CSR | −0.012 *** | −0.010 | −0.005 | −0.076 ** | −0.018 |
(−3.585) | (−1.522) | (−0.655) | (−2.292) | (−1.309) | |
INSTsq *CSR | 0.000 *** | 0.000 | 0.000 | 0.001 | 0.000 |
(3.505) | (1.481) | (0.896) | (1.090) | (1.430) | |
SIZE | 0.106 *** | 0.049 *** | 0.061 *** | 0.021 | 0.018 |
(13.827) | (3.069) | (3.024) | (0.353) | (0.5750 | |
MVE | 0.059 *** | 0.109 *** | 0.098 *** | 0.113 | 0.189 *** |
(4.830) | (4.799) | (3.406) | (1.133) | (4.048) | |
ROE | 0.003 *** | 0.001 | −0.003 | 0.007 ** | 0.003 * |
(5.575) | (1.301) | (−1.361) | (2.144) | (1.889) | |
MB | −0.000 | −0.049 *** | −0.023 *** | −0.006 | −0.128 *** |
(−0.967) | (−6.907) | (−2.709) | (−0.185) | (−7.691) | |
TURN | −0.031 *** | −0.028 ** | −0.017 | −0.162 *** | −0.025 |
(−5.753) | (−2.120) | (−0.913) | (−3.164) | (−1.220) | |
AGE | −0.139 *** | −0.058 ** | −0.028 | −0.052 | −0.071 * |
(−12.010) | (−2.500) | (−0.845) | (−0.521) | (−1.769) | |
SKEW | −0.289 *** | −0.177 *** | −0.093 * | −0.289 * | −0.322 *** |
(−14.076) | (−4.744) | (−1.961) | (−1.892) | (−4.781) | |
KUR | −0.016 *** | −0.036 *** | −0.041 *** | −0.120 ** | −0.020 * |
(−4.774) | (−4.314) | (−2.736) | (−2.027) | (−1.843) | |
STD | −0.150 *** | −0.109 *** | −0.133 *** | −0.070 | −0.084 * |
(−10.536) | (−3.762) | (−3.428) | (−0.6320 | (−1.725) | |
SROE | −0.004 *** | −0.001 | −0.003 | −0.006 | −0.000 |
(−7.669) | (−0.993) | (−0.741) | (−1.000) | (−0.159) | |
Intercept | −0.010 | −0.809 *** | −0.636 ** | −1.641 * | −1.270 *** |
(−0.095) | (−3.380) | (−1.981) | (−1.745) | (−3.201) | |
INDUSTRY | YES | YES | YES | YES | YES |
YEAR | YES | YES | YES | YES | YES |
N | 11517 | 2890 | 1690 | 207 | 991 |
F | 178.862 *** | 54.972 *** | 35.915 *** | 8.848 *** | 19.056 *** |
Adj-R2 | 0.351 | 0.395 | 0.413 | 0.515 | 0.368 |
Variable | Whether to Disclose | Disclosure Level | Mandatory | Semi-Mandatory | Voluntary |
---|---|---|---|---|---|
CSR1 | 0.097 | - | - | - | - |
(1.305) | |||||
CSR2 | - | 0.018 | 0.022 | 0.225 | −0.019 |
(0.436) | (0.404) | (1.485) | (−0.269) | ||
INST2 | −0.016 *** | −0.006 | −0.012 | 0.133 * | −0.003 |
(−15.900) | (−0.292) | (−0.520) | (1.898) | (−0.083) | |
ANALYST | 0.022 ** | 0.043 | 0.084 | 0.229 | 0.002 |
(2.023) | (0.889) | (1.359) | (1.199) | (0.018) | |
MEDIA | −0.034 *** | −0.094 *** | −0.097 ** | 0.001 | −0.102 |
(−8.842) | (−2.595) | (−2.001) | (0.008) | (−1.530) | |
INST2 *CSR | −0.005 ** | −0.004 | −0.001 | −0.045 ** | −0.004 |
(−2.249) | (−0.660) | (−0.166) | (−2.322) | (−0.416) | |
ANALYST *CSR | −0.004 | −0.015 | −0.025 | −0.072 | 0.004 |
(−0.238) | (−1.061) | (−1.400) | (−1.366) | (0.146) | |
MEDIA *CSR | 0.015 | 0.020 ** | 0.023 * | −0.004 | 0.020 |
(1.541) | (2.022) | (1.813) | (−0.104) | (1.106) | |
SIZE | 0.101 *** | 0.042 *** | 0.044 ** | −0.016 | 0.042 |
(12.397) | (2.607) | (2.129) | (−0.272) | (1.364) | |
MVE | 0.052 *** | 0.118 *** | 0.119 *** | 0.125 | 0.155 *** |
(3.945) | (4.872) | (3.873) | (1.143) | (3.211) | |
ROE | 0.002 *** | 0.001 | −0.006 *** | 0.017*** | 0.004** |
(3.076) | (0.916) | (−2.681) | (3.720) | (2.516) | |
MB | −0.003 *** | −0.055 *** | −0.032 *** | −0.048 | −0.120 *** |
(−3.570) | (−7.249) | (−3.578) | (−1.228) | (−7.279) | |
TURN | −0.038 *** | −0.027 ** | −0.004 | −0.167 *** | −0.029 |
(−6.778) | (−2.005) | (−0.186) | (−3.366) | (−1.454) | |
AGE | −0.096 *** | −0.056 ** | −0.038 | −0.019 | −0.054 |
(−7.738) | (−2.355) | (−1.172) | (−0.179) | (−1.316) | |
SKEW | −0.280 *** | −0.144 *** | −0.090 * | −0.227 | −0.275 *** |
(−13.138) | (−3.824) | (−1.909) | (−1.483) | (−4.035) | |
KUR | −0.027 *** | −0.072 *** | −0.049 *** | −0.135** | −0.152*** |
(−6.892) | (−5.637) | (−3.250) | (−2.307) | (−5.895) | |
STD | −0.129 *** | −0.126 *** | −0.127 *** | −0.094 | −0.181 *** |
(−8.816) | (−4.286) | (−3.281) | (−0.865) | (−3.596) | |
SROE | −0.003 *** | −0.001 | 0.000 | −0.007 | 0.001 |
(−5.045) | (−0.542) | (0.025) | (−1.061) | (0.376) | |
Intercept | 0.103 | −0.235 | −0.316 | −0.689 | −0.098 |
(0.966) | (−0.903) | (−0.869) | (−0.703) | (−0.228) | |
INDUSTRY | YES | YES | YES | YES | YES |
YEAR | YES | YES | YES | YES | YES |
N | 10614 | 2823 | 1661 | 202 | 958 |
F | 163.686 *** | 53.825 *** | 34.487 *** | 8.357 *** | 19.811 *** |
Adj-R2 | 0.362 | 0.409 | 0.421 | 0.522 | 0.400 |
Variable | Whether to Disclose | Disclosure Level | Mandatory | Semi-Mandatory | Voluntary |
---|---|---|---|---|---|
CSR1 | 0.164 ** | - | - | - | - |
(2.212) | |||||
CSR2 | - | 0.065 | 0.052 | 0.300 * | 0.049 |
(1.546) | (0.928) | (1.941) | (0.677) | ||
INST | −0.012 *** | 0.002 | −0.003 | 0.137 ** | −0.005 |
(−13.752) | (0.106) | (−0.177) | (2.009) | (−0.177) | |
ANALYST2 | 0.014 * | 0.031 | 0.021 | 0.145 | 0.061 |
(1.692) | (0.654) | (0.346) | (0.774) | (0.701) | |
MEDIA | −0.035 *** | −0.097 ** | −0.105 ** | −0.105 | −0.071 |
(−9.475) | (−2.558) | (−2.091) | (−0.636) | (−1.036) | |
INST *CSR | 0.001 | −0.003 | −0.001 | −0.045 ** | −0.002 |
(0.710) | (−0.769) | (−0.246) | (−2.435) | (−0.209) | |
ANALYST2 *CSR | −0.041 *** | −0.018 | −0.021 | −0.035 | −0.012 |
(−2.847) | (−1.331) | (−1.239) | (−0.686) | (−0.472) | |
MEDIA *CSR | 0.012 | 0.020 * | 0.024 * | 0.028 | 0.012 |
(1.157) | (1.886) | (1.872) | (0.614) | (0.608) | |
SIZE | 0.116 *** | 0.055 *** | 0.066 *** | 0.018 | 0.027 |
(15.026) | (3.402) | (3.270) | (0.301) | (0.874) | |
MVE | 0.060 *** | 0.113 *** | 0.104 *** | 0.081 | 0.178 *** |
(4.667) | (4.661) | (3.362) | (0.768) | (3.648) | |
ROE | 0.003 *** | 0.002 | −0.002 | 0.008 ** | 0.003 * |
(5.401) | (1.623) | (−0.962) | (2.242) | (1.917) | |
MB | 0.000 | −0.050 *** | −0.025 *** | 0.000 | −0.125 *** |
(−0.792) | (−7.053) | (−3.022) | (0.012) | (−7.525) | |
TURN | −0.035 *** | −0.030 ** | −0.026 | −0.162 *** | −0.021 |
(−6.493) | (−2.306) | (−1.340) | (−3.163) | (−1.031) | |
AGE | −0.107 *** | −0.051 ** | −0.034 | −0.031 | −0.044 |
(−8.825) | (−2.143) | (−1.010) | (−0.295) | (−1.054) | |
SKEW | −0.282 *** | −0.174 *** | −0.092 * | −0.271 * | −0.314 *** |
(−13.757) | (−4.666) | (−1.937) | (−1.737) | (−4.655) | |
KUR | −0.015 *** | −0.036 *** | −0.043 *** | −0.125 ** | −0.020 * |
(−4.700) | (−4.364) | (−2.827) | (−2.074) | (−1.811) | |
STD | −0.159 *** | −0.120 *** | −0.140 *** | −0.070 | −0.095 * |
(−11.230) | (−4.116) | (−3.587) | (−0.640) | (−1.943) | |
SROE | −0.004 *** | −0.001 | −0.003 | −0.006 | 0.000 |
(−7.766) | (−1.074) | (−0.864) | (−1.007) | (−0.170) | |
Intercept | 0.182 * | −0.420 | −0.217 | −1.351 | −0.947 ** |
(1.764) | (−1.627) | (−0.596) | (−1.335) | (−2.243) | |
INDUSTRY | YES | YES | YES | YES | YES |
YEAR | YES | YES | YES | YES | YES |
N | 11517 | 2890 | 1690 | 207 | 991 |
F | 172.880 *** | 52.281 *** | 33.977 *** | 8.150 *** | 18.158 *** |
Adj-R2 | 0.356 | 0.396 | 0.413 | 0.509 | 0.371 |
Variable | Whether to Disclose | Disclosure Level | Mandatory | Semi-Mandatory | Voluntary |
---|---|---|---|---|---|
LCSR1 | 0.181 *** | - | - | - | - |
(7.682) | |||||
LCSR2 | - | 0.038 | −0.001 | −0.060 | 0.119 * |
(1.019) | (−0.014) | (−0.375) | (1.889) | ||
SIZE | 0.119 *** | 0.055 *** | 0.077 *** | 0.027 | 0.004 |
(13.498) | (3.021) | (3.349) | (0.412) | (0.104) | |
MVE | 0.002 | 0.071 *** | 0.062 * | −0.036 | 0.140 *** |
(0.166) | (2.785) | (1.909) | (−0.333) | (2.738) | |
ROE | 0.002 *** | 0.001 | −0.005 ** | 0.009 ** | 0.005 ** |
(2.804) | (0.844) | (−2.194) | (2.444) | (2.538) | |
MB | 0.000 | −0.048 *** | −0.023 ** | 0.012 | −0.137 *** |
(−0.724) | (−5.913) | (−2.294) | (0.347) | (−6.879) | |
TURN | −0.016 ** | −0.024 | −0.018 | −0.108 | −0.031 |
(−2.355) | (−1.519) | (−0.785) | (−1.651) | (−1.284) | |
AGE | −0.105 *** | −0.054 * | −0.044 | −0.142 | −0.032 |
(−7.661) | (−1.914) | (−1.085) | (−1.137) | (−0.646) | |
SKEW | −0.279 *** | −0.149 *** | −0.089 * | −0.220 | −0.258 *** |
(−11.784) | (−3.495) | (−1.679) | (−1.236) | (−3.259) | |
KUR | −0.053 *** | −0.041 *** | −0.027 * | −0.062 | −0.116 *** |
(−6.089) | (−2.968) | (−1.656) | (−0.932) | (−4.043) | |
STD | −0.195 *** | −0.140 *** | −0.175 *** | −0.183 | −0.150 *** |
(−11.188) | (−4.171) | (−3.905) | (−1.380) | (−2.646) | |
SROE | −0.005 *** | −0.002 | −0.005 | −0.001 | 0.000 |
(−6.384) | (−0.915) | (−1.042) | (−0.210) | (0.165) | |
Intercept | 0.231 * | −0.308 | 0.065 | 0.576 | −0.835 * |
(1.935) | (−1.172) | (0.189) | (0.488) | (−1.874) | |
INDUSTRY | YES | YES | YES | YES | YES |
YEAR | YES | YES | YES | YES | YES |
N | 9195 | 2297 | 1352 | 163 | 780 |
F | 158.841 *** | 50.972 *** | 32.483 *** | 7.529 *** | 18.960 *** |
Adj-R2 | 0.340 | 0.387 | 0.403 | 0.468 | 0.383 |
© 2018 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
Share and Cite
Dai, J.; Lu, C.; Yang, Y.; Zheng, Y. Is the Social Responsibility Information Disclosed by the Companies really Valuable?—Evidence from Chinese Stock Price Synchronicity. Sustainability 2018, 10, 3578. https://doi.org/10.3390/su10103578
Dai J, Lu C, Yang Y, Zheng Y. Is the Social Responsibility Information Disclosed by the Companies really Valuable?—Evidence from Chinese Stock Price Synchronicity. Sustainability. 2018; 10(10):3578. https://doi.org/10.3390/su10103578
Chicago/Turabian StyleDai, Jingwen, Chao Lu, Yang Yang, and Yanhong Zheng. 2018. "Is the Social Responsibility Information Disclosed by the Companies really Valuable?—Evidence from Chinese Stock Price Synchronicity" Sustainability 10, no. 10: 3578. https://doi.org/10.3390/su10103578