Information asymmetry on the link between corporate social responsibility and stock price crash risk

Figures & data

Table 1. Descriptive statistics

Variable	Observations	Mean	Standard deviation	Minimum	Maximum
CRASH2	1,237	0.192	1.060	−3.252	5.794
CRASH1	1,237	0.006	0.167	−0.582	0.777
CSR	1,340	0.263	0.145	0.000	0.939
SPREAD	1,295	0.030	0.095	−0.797	0.797
SIZE	1,340	28.237	1.298	23.330	32.254
LEV	1,330	0.246	0.188	0.000	0.736
GROW	1,317	0.191	0.705	−0.851	9.203
AGE	1,340	2.792	0.471	0.693	4.787
BIG4	1,170	0.388	0.488	0.000	1.000

Source: Author’s calculations.

Table 2. Correlation coefficient matrix

Variables	CRASH1	CSR	SPREAD	SIZE	LEV	GROW	AGE	BIG4
CRASH1	1.000
CSR	−0.061*	1.000
SPREAD	0.063*	−0.110*	1.000
SIZE	−0.049	0.295*	−0.159*	1.000
LEV	−0.002	0.004	0.028	0.339*	1.000
GROW	−0.061*	−0.085*	−0.041	−0.016	−0.031	1.000
AGE	0.027	0.119*	−0.039	0.013	0.063*	−0.156*	1.000
BIG4	−0.050	0.328*	−0.074*	0.383*	−0.007	−0.097*	−0.013	1.000

t statistics are in brackets. * indicates significant at 5%. Source: Author’s calculations from research sample.

Table 3. The effect of CSR disclosure on stock price crash risk

Model/Variables	(1)	(2)
	CRASH1	CRASH2
CSR	−0.261***	−1.307***
	[−4.02]	[−2.94]
SIZE	0.037*	0.355***
	[1.91]	[2.81]
LEV	−0.072	0.253
	[−0.87]	[0.45]
GROW	−0.052***	−0.422***
	[−4.12]	[−5.04]
AGE	0.194***	1.628***
	[5.68]	[6.66]
BIG4	−0.037*	−0.389***
	[−1.70]	[−2.89]
L.CRASH1	0.097***
	[3.05]
L.CRASH2		0.074**
		[2.28]
INDUSTRY	Yes	Yes
_CONS	−1.361**	−13.139***
	[−2.42]	[−3.55]
Number of observations	842	842
NO. OF INSTRUMENTS	80	80
AR2 TEST P-VALUE	0.949	0.881
HANSEN TEST P-VALUE	0.450	0.269

This table presents the regression results of the effect of CSRD on stock price crash risk. t values are in brackets. *, **, and *** indicate significance at 10%, 5% and 1%, respectively. CSR is CSR index; Size is the logarithm of total assets; Lev is the ratio of total debt to total assets; Grow is the annual growth rate of revenue; Age is the listing age of firms; Big4 is a dummy variable, receiving 1 if the auditor is from Big4 firms, and 0 otherwise; Industry is a vector of dummy variables to control for industry-specific effects on crash risk; CRASH1 and CRASH2 are two indicators of CRASH. We perform a robustness test (not tabulated here) by adding year fixed effects for both two models with CRASH1 and CRASH2, the coefficients remain negative and significant for CSR variable.

Table 4. The moderating effects of information asymmetry on the link between CSR disclosure and stock price crash risk

Model/Variables	(1)	(2)	(3)	(4)	(5)	(6)
	CRASH1	CRASH1	CRASH1	CRASH2	CRASH2	CRASH2
CSR	−0.261***	−0.231***	−0.207***	−1.307***	−1.332***	−1.020***
	[−4.02]	[−4.20]	[−5.05]	[−2.94]	[−3.54]	[−3.77]
SPREAD		0.230***	0.243***		1.715***	1.933***
		[4.71]	[9.58]		[5.36]	[12.11]
INTERACTION			−1.676***			−7.652**
			[−3.28]			[−2.28]
SIZE	0.037*	0.021	0.024**	0.355***	0.325***	0.288***
	[1.91]	[1.63]	[2.49]	[2.81]	[3.99]	[5.17]
LEV	−0.072	−0.180***	−0.180***	0.253	−0.228	−0.359
	[−0.87]	[−2.96]	[−3.70]	[0.45]	[−0.58]	[−1.34]
GROW	−0.052***	−0.050***	−0.045***	−0.422***	−0.414***	−0.354***
	[−4.12]	[−4.70]	[−5.52]	[−5.04]	[−5.60]	[−6.50]
AGE	0.194***	0.165***	0.177***	1.628***	1.328***	1.198***
	[5.68]	[5.99]	[11.96]	[6.66]	[6.41]	[11.65]
BIG4	−0.037*	−0.016	−0.020*	−0.389***	−0.329***	−0.300***
	[−1.70]	[−0.98]	[−1.69]	[−2.89]	[−3.41]	[−4.06]
L.CRASH1	0.097***	0.047**	0.075***
	[3.05]	[2.30]	[6.83]
L.CRASH2				0.074**	0.095***	0.091***
				[2.28]	[3.45]	[5.23]
INDUSTRY	Yes	Yes	Yes	Yes	Yes	Yes
_CONS	−1.361**	−0.816**	−0.938***	−13.139***	−11.449***	−10.071***
	[−2.42]	[−2.16]	[−3.40]	[−3.55]	[−4.56]	[−6.10]
No of observations	842	833	833	842	833	833
NO. OF INSTRUMENTS	80	99	118	80	99	118
AR2 TEST P-VALUE	0.949	0.670	0.780	0.881	0.927	0.972
HANSEN TEST P-VALUE	0.450	0.261	0.351	0.269	0.187	0.172

This table presents the regression results of the effect of CSRD on stock price crash risk. t values are in brackets. *, **, and *** indicate significance at 10%, 5% and 1%, respectively. CSR is CSR index; Size is the logarithm of total assets; Lev is the ratio of total debt to total assets; Grow is the annual growth rate of revenue; Age is the listing age of firms; Big4 is a dummy variable, receiving 1 if the auditor is from Big4 firms, and 0 otherwise; Industry is a vector of dummy variables to control for industry-specific effects on crash risk; CRASH1 and CRASH2 are two indicators of CRASH. We perform a robustness test (not tabulated here) by adding year fixed effects for both two models with CRASH1 and CRASH2, the coefficients remain negative and significant for CSR variable.