Impact of Corporate ESG Performance on Equity Returns

Abstract

In the context of sustainable development, ESG is no longer a theoretical concept, but is gradually put into practice. Corporate decision makers, market investors and regulators are all attach more and more attention to ESG information. Whether the efforts made by companies in ESG can bring the companies due returns? Whether excellent ESG performance attracts investors and brings them excess returns? Whether ESG information can help regulators to promote a stable and growing market? This paper uses Bloomberg ESG data and a sample of 242 companies from 2011 to 2020, to answer these questions. This study finds that ESG performance does not generate positive returns for firms and investors. Furthermore, for state-owned enterprises and heavily polluting firms, the sacrifices made in ESG performance are greater. This study theoretically analyses the reasons for the negative correlation between the two research subjects. It alerts the tripartite participants to look at ESG disclosure information in a critical way.