What accounts for the effect of sustainability engagement on stock price crash risk during the COVID-19 pandemic—Agency theory or legitimacy theory?
研究分析了2020年第一二季度美国标普500公司可持续性新闻披露与股价崩盘风险的正向关系，发现代理理论比合法性理论更能解释这一现象，对关注企业可持续性披露后果的投资者和学者有参考价值。
In this study, we conduct a textual analysis of the third-party disclosure of corporate sustainability news focused on the Standard and Poor's 500 firms in the United States market during the first and second quarter of 2020. We find a positive relationship between corporate sustainability news release and firm-specific stock price crash risk. This finding is surprising, but it indeed aligns with agency theory. It indicates that the coronavirus disease (COVID-19) pandemic exacerbated the tendency of managers under increasing financial pressure to use the sustainability information release as a mechanism to mask and withhold bad news for extended periods at the expense of shareholders. This tendency results in high stock price crash risk. Our results are robust to alternative empirical specifications, estimation methods, and tests for endogeneity. Moreover, additional evidence reveals that agency theory dominates legitimacy theory in explaining the effect of sustainability on this risk during the COVID-19 pandemic.