Corporate ESG performance and the capital market information environment

Since China began to disclose ESG performance in 2011, we selected A-share listed companies on the Shanghai and Shenzhen stock exchanges from 2011 to 2022 as the research sample. The samples were further excluded from special treatment companies, companies in the financial industry, and those with missing data. The final sample contained 17,752 firm-year observations. All continuous variables are winsorized at the 1% level to avoid outlier effects. ESG data are from the Wind database, and financial data are from the China Securities Market and Accounting Research database.

自中国于2011年启动环境、社会及治理（Environmental, Social and Governance，ESG）信息披露工作以来，本研究选取2011至2022年沪深两市A股上市公司作为初始研究样本。后续进一步剔除了被实施特别处理（Special Treatment，ST）的公司、金融行业上市公司以及存在数据缺失的样本，最终得到17752个公司年度观测值。所有连续变量均在1%水平上进行缩尾处理，以规避异常值的影响。ESG数据取自万得（Wind）数据库，财务数据取自中国证券市场与会计研究（China Securities Market and Accounting Research，CSMAR）数据库。