关键词: ESG表现, 股价崩盘风险, 市场声誉, 投资者情绪

Abstract: With the deepening understanding of sustainable development concepts, corporate ESG performance has become a critical factor influencing modern investment and financing decisions. Year-over-year fluctuations in corporate ESG performance may affect the stock price volatility of the enterprises. This study empirically examines the impact of declining corporate ESG performance on stock price crash risk by using the data from A-share listed companies on the Shanghai and Shenzhen stock exchanges in China. The findings reveal that a decline in corporate ESG performance has a significant positive impact on the risk of stock price collapse. This conclusion still holds true after a series of robustness tests. The mechanism test results show that the decline in ESG performance increases the risk of stock price collapse by damaging the company's market reputation and exacerbating investor sentiment panic. At the same time, the impact of declining ESG performance on the risk of stock price collapse is more significant in the enterprises with larger scale, or with poor accounting information quality, or at the downstream in the value chain, or facing higher ESG“greenwashing”risk, or with higher degree of upward mispricing. Therefore, enterprise should regularly evaluate their own ESG development status and actively strengthen the construction of communication mechanisms with investors. Relevant government departments should accelerate the development of mandatory ESG disclosure quantitative indicators, increase the punishment for ESG violations, classify and grade the scope of enterprise ESG stress testing, further innovate ESG oriented financial instruments and risk mitigation mechanisms, and strive to cultivate an ESG rational investment ecosystem.

Key words: ESG performance downturn, risk of stock price crash, market reputation, investor sentiment