Impact of Environmental, Social, and Governance (ESG) Disclosure on Investor Reactions: Evidence from Thailand

Environmental, social, and governance (ESG) disclosure has received increasing attention in capital markets as investors place greater emphasis on sustainability information alongside financial information when evaluating firms. In this study, the authors examine the relationship between ESG disclosure and investor reactions among firms listed on the Stock Exchange of Thailand using Bloomberg ESG disclosure scores and an event study approach. The analysis is based on secondary data over the period of 2019–2022, employing a fixed-effects model on unbalanced panel data. The findings indicate that overall ESG disclosure is positively and statistically significantly associated with investor reactions. These results show that each ESG dimension is positively associated with investor reactions. While the environmental and social dimensions are significant at the 0.01% level, governance disclosure remains statistically significant at the 0.05 level. The empirical evidence suggests that ESG disclosure provides information that investors may consider when evaluating firms. Moreover, this study provides evidence that changes in the level of ESG disclosure are associated with changes in cumulative abnormal returns (CARs). This study contributes to the literature on ESG disclosure and corporate sustainability in emerging markets. Its results have practical implications for listed companies, investors, and regulators by highlighting the importance of ESG disclosure in corporate reporting and investment evaluation.