Attention-Grabbing ESG

Yoshitaka Tanaka and Shunsuke Managi

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines whether the market can recognize the financial materiality of socially impactful corporate disclosures. Using data to demonstrate reactions on social networking sites (SNS) to ESG news in the United States from 2010, our findings reveal a positive correlation between unconditional excess stock returns and the polarity of the financially material ESG events. On the contrary, we observe that stock returns exhibit a short-term reaction rather than a long-term impact towards ESG events that are socially salient but less value-relevant. These tendencies seem more evident in corporations with limited information disclosure with investors concerning ESG. Moreover, conditional on the social impact of the event and the level of transparency in the company's ESG information, our findings suggest that the association between materiality and stock returns is not particularly substantial.

Keywords: ESG; Corporate Social Responsibility; Materiality; Social Media; Market Efficiency (search for similar items in EconPapers)
JEL-codes: D22 G14 G30 M14 (search for similar items in EconPapers)
Date: 2023-03-22
New Economics Papers: this item is included in nep-des
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https://mpra.ub.uni-muenchen.de/116786/1/MPRA_paper_116786.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/117192/1/Tanaka_Managi_2023.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:116786

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