ESG Disclosure, Return, and Risk of REITs: Evidence from Thailand and Singapore Under Changing Interest Rate Conditions

Real Estate Investment Trusts (REITs), as highly leveraged, income-generating vehicles, are among the asset classes most structurally exposed to interest rate risk. This study examines the extent of environmental, social, and governance (ESG) disclosure—rather than underlying ESG performance—as a signal associated with the risk-adjusted performance of REITs listed in Thailand and Singapore and whether interest rate conditions moderate this relationship. Using a new 15-indicator ESG Disclosure Index (ESGDI) applied to a panel of 43 REITs comprising 215 REIT-year disclosure observations (2021–2025), panel regressions selected via Hausman and Breusch–Pagan Lagrange Multiplier tests show that ESG disclosure is significantly associated with lower REIT risk in the baseline specification using cluster-robust standard errors (β = −0.033, p = 0.035) but has no significant association with returns. This baseline association is not robust: it becomes insignificant under a one-year lagged specification (β = −0.020, p = 0.378) and indistinguishable from zero once year fixed effects are added (β = 0.001, p = 0.975). The ESGDI × interest-rate interaction is insignificant in the baseline model, with only a marginal effect under year fixed effects. No statistically significant cross-country heterogeneity is detected, though statistical power is limited. Any risk-reducing signal from ESG disclosure in this setting appears fragile and specification-sensitive rather than a reliable risk driver.