Although legitimacy theory provides strong arguments that environmental, social and governance (ESG) disclosure and performance can help mitigate firm-specific (idiosyncratic) risks, this relationship has been repeatedly challenged by conceptual arguments, such as ‘transparency fallacy’ or ‘impression management’, and mixed empirical evidence. Therefore, we investigate this relationship in the revelatory case of initial public offerings (IPOs), which represent the first sale of common stock to the wider public. IPOs are characterised by strong information asymmetry between firm insiders and society, while at the same time suffering from uncertainty in firm legitimacy, culminating in amplified financial risks for both issuers and investors in aftermarket trading. Using data from the United States, we demonstrate that (1) voluntary ESG disclosure reduces idiosyncratic volatility and downside tail risk and (2) higher ESG ratings have lower associated firm-specific volatility and downside tail risk during the first year of trading in the aftermarket. We provide theoretical arguments for the relationships observed, suggesting that companies striving for ESG performance and communicating their efforts signal their compliance with sustainability-related norms, thus acquiring and upholding a societal license to operate. ESG performance and disclosure help companies build their reputation capital with investors after going public. We also report that ESG disclosure is a more consistent proxy for ex-ante uncertainty as an indicator of aftermarket risk, thereby replacing some of the more conventional measures, such as firm age, offered in the existing literature.

尽管合法性理论提供了强有力的论据，即环境、社会和治理 (ESG) 的披露和绩效可以帮助减轻公司特定的（特殊的）风险，但这种关系一再受到概念论点的挑战，例如“透明度谬误”或“印象管理” ，以及混合的经验证据。因此，我们在首次公开募股 (IPO) 的启示性案例中调查了这种关系，首次公开募股代表首次向更广泛的公众出售普通股。IPO 的特点是公司内部人和社会之间存在强烈的信息不对称，同时公司合法性存在不确定性，最终导致发行人和投资者在售后交易中的财务风险被放大。使用来自美国的数据，我们证明 (1) 自愿 ESG 披露降低了特殊波动性和下行尾部风险；(2) 较高的 ESG 评级在售后市场交易的第一年降低了相关的公司特定波动性和下行尾部风险。我们为观察到的关系提供理论论证，表明公司努力实现 ESG 绩效并传达他们的努力表明他们遵守了与可持续发展相关的规范，从而获得并维护了社会经营许可。ESG 绩效和信息披露有助于公司在上市后在投资者中建立声誉资本。我们还报告说，ESG 披露是作为售后风险指标的事前不确定性的更一致的代理，从而取代了一些更传统的衡量标准，例如公司年龄、