Against the backdrop of rising corporate social irresponsibility (CSI) incidents in China’s capital market, this study examines how CSI affects short-window market reactions and through which investor-side mechanisms this effect operates. Using A-share listed companies in Shanghai and Shenzhen from 2017 to 2021, we construct a CSI index adapted to the Chinese institutional setting and employ an event-study framework combined with mediation and moderation models. The results show that CSI is associated with significantly more negative cumulative abnormal returns. Mechanism tests indicate that CSI is negatively associated with investor sentiment, and lower investor sentiment is associated with more negative market reactions, implying a negative indirect path through investor sentiment. Investor attention further conditions this relationship: when investor attention is higher, the negative market reaction to CSI is stronger, although the baseline interaction result should be interpreted cautiously because its significance is marginal. These conclusions are supported by Heckman two-step estimation, alternative sample construction, and alternative event-window tests. Additional analysis shows that prior CSR reputation can mitigate investor punishment after CSI events, suggesting an insurance effect.
Tan et al. (Sat,) studied this question.