Abstract: Using Event study methodology and transactions data for A-Share stocks from 2009-2011 in Chinese stock market, this paper try to provide an explanation for the increasing trend of corporate social responsibility (CSR) reporting by investigating the role of corporate social responsibility (CSR) disclosure in reducing information asymmetry between managers and investors, as proxied by stock price volatility and liquidity. We make the day which firms disclose CSR reports as our event day. Studies have shown that after CSR disclosure, there is an obvious increase of stock liquidity and an decrease of stock volatility, however, liquidity increases first and then decreases, volatility decreases first and then increase. The findings suggest that the information content of corporate social information indeed can improve the market quality largely in China.

摘要： 以2009-2011年中国上市公司为研究样本，采用股票的波动性和流动性来反映市场中信息的不对称程度，并运用事件分析法，通过比较社会责任报告披露前后波动性和流动性的变化来检验企业披露的社会责任信息在我国资本市场的信息含量。研究表明，社会责任信息披露之后，股票的波动性明显下降，而流动性则呈上升趋势；但是中间表现出了一定的波动起伏，市场的波动性是先降后升的，而流动性则是先升后降的。可见社会责任的信息披露也会扮演着与财务信息披露类似的角色，能够增加信息透明度，对投资决策造成影响。