Quantitative Analysis of ESG Information Value and Policy Uncertainty

Ming-Fang Lee, Kuang-Hsun Shih, Yi-Hsien Wang () and Fu-Ming Lai
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Ming-Fang Lee: Doctorate Program in Intelligent Banking and Finance, CTBC Business School, Tainan 709, Taiwan
Kuang-Hsun Shih: Doctorate Program in Intelligent Banking and Finance, CTBC Business School, Tainan 709, Taiwan
Yi-Hsien Wang: Doctorate Program in Intelligent Banking and Finance, CTBC Business School, Tainan 709, Taiwan
Fu-Ming Lai: Doctorate Program in Intelligent Banking and Finance, CTBC Business School, Tainan 709, Taiwan

Sustainability, 2025, vol. 17, issue 2, 1-16

Abstract: This study examines the impact of ESG rating disclosures on the stock performance of highly rated semiconductor companies in Taiwan from 2017 to 2023. The findings reveal significant abnormal returns surrounding ESG rating releases, with positive returns before the event reflecting investor optimism and negative returns afterward indicating market reassessment. The analysis highlights varied effects of ESG dimensions: environmental performance benefits lower-performing firms, social initiatives show negative impacts on high-performing firms, and governance practices demonstrate both short-term costs and long-term benefits. Policy continuity emerges as a critical factor in moderating the financial impacts of ESG performance. Stable and supportive policies enhance the positive effects of ESG initiatives, while inconsistent frameworks exacerbate inefficiencies. These results emphasize the importance of aligning ESG strategies with consistent policy environments to maximize shareholder wealth, offering valuable insights for investors, corporate managers, and policymakers.

Keywords: ESG ratings; Taiwan semiconductor industry; abnormal returns; quantile regression; policy uncertainty (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2025
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