本文分析了2008—2014年A股市場對強制披露的企業社會責任報告中環保信息的反應,展示了我國股票投資者社會環境偏好的變化過程。雖然近年來我國人均收入已經處于環境庫茲涅茨曲線的排放拐點附近,但是目前鮮有國內研究對公眾的社會環境偏好變化過程進行分析。本文分三個部分對股票市場投資者的社會環境偏好進行檢驗:首先,利用事件分析法展示了7年間股票投資者的整體態度,發現由環保信息披露引起的累積超額回報率顯著大于零,說明投資者平均持積極態度。其次,使用傾向得分匹配雙重差分法檢驗環境監管政策加強帶來的影響,一方面《大氣污染防治行動計劃》的實施使得投資者態度從負面向正面轉變,說明投資者環境偏好受政策影響顯著;另一方面《大氣污染防治行動計劃》的實施顯著提高了國有企業環保行為的水平。最后,通過對政策效應的形成機制進行檢驗發現,我國上市公司的環保行為在投資者眼中并不只是為了完成社會責任信息披露的政策指令而實施,而是股票投資者已經形成社會環境偏好,使得企業具有構建"綠色企業形象"的需求。另外,由于本文的研究對象是強制披露的企業社會責任報告,所以有效規避了西方相關研究中自愿披露導致的自我選擇問題,但同時西方學者普遍對我國強制披露的企業社會責任報告所包含的信息持懷疑態度,因此本文通過利用情緒分析程序對環保信息的信息有效性進行檢驗,結果顯示文本情緒的強弱與股票價格波動幅度有正相關關系,說明企業環保信息是投資者決策信息集的一部分,即強制披露的企業社會責任報告包含有效信息。

Through testing stock market reaction to the environmental information disclosure in the mandatory corporate social responsibility( hereafter,CSR) report,this paper explains the changing process of Chinese investor ’s social and environmental preference during the years from 2008 to 2014. Although Chinese annual per capita GDP has already reached the knee point of Environmental Kuznets Curve,Chinese studies rarely focus on the public social and environmental preferences. This paper is divided into three parts to test investors’ preferences: First,we use event study method to test the sign of accumulating abnormal returns aroused by the environmental information disclosure,which is above zero and indicates that stock investors have generally positive attitudes to corporate environmental performances. Second,we employ Kernel Propensity Score Marching Difference in Differences method to evaluate the impact of the environmental policy on the stock market. On one hand,it is found that the enactment of the Air Pollution Prevent and Control Action Plan( hereafter,the Air Plan) in 2013 helps the investor to form the environmental preference.On the other hand,the enactment of the Air Plan significantly improves corporate environmental performances,especially for stateowned firms. Lastly,through testing the formation mechanism of policy effects, we find that Chinese corporate environmental performances are not enforced to response to the policy of mandatory CSR reports. The investor’s social and environmental preference makes public firms have the demand to set up a green business image. In addition,this paper studies the mandatory environmental disclosure which is free from self-selection problems,but earlier studies suggest that the enforcing mandatory CSR report often produces‘windows dressing’or biased disclosure. To test information efficiency of mandatory CSR reports,we use a sentiment analysis to show that the‘tone’of textual information about corporate environmental performances has the positive relation with stock price fluctuation in the short run. This result indicates that the information included in CSR reports is a part of the investor’s information set,which means the information in CSR reports is efficient.