Munich Personal RePEc Archive

Attention-Grabbing ESG

Tanaka, Yoshitaka and Managi, Shunsuke (2023): Attention-Grabbing ESG.

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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.

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