Which CSR Dimension Matters in Stock Price Crash Risk? Evidence from China

This paper examines the influence of CSR performance and its three dimensions on price crash risks. Using a comprehensive sample of A-share stocks from 2011 to 2018, we find that CSR performance significantly mitigates future price crash risks, and this influence is mainly from the governance and environmental dimensions. Besides, we find that firm undervaluation has a significant moderating effect on the relationship between CSR performance and stock crash risk, and the impact of CSR performance on the mitigation of crash risk is more pronounced during financial crisis periods. Finally, we demonstrate that when a firm is not subject to NEIP or if it is in a region with better air quality, environmental responsibility more significantly reduces future stock price crashes, and the impacts of governance dimensions are more prominent when a firm has higher agency problems, less transparency, and poorer management reputations