Stock market reaction to mandatory sustainability reporting: Does carbon‐intensity and environmental, social, and governance reputation matter?
研究了印度强制可持续发展报告规定对股票市场的影响，发现投资者总体反应积极，但碳密集型企业受益更大，而高ESG表现的企业反而出现负面异常收益。
Abstract With a sample of 679 listed firms, integrating the event study method and cross‐sectional analysis, we examine the stock market reaction to mandatory sustainability reporting regulation in India. We find that (1) on average, investors react positively to such announcements; (2) the impact varies across different sectors; (3) affected and unaffected firms do not posit significant differences; (4) carbon‐intensive firms are positively impacted; and (5) high environmental, social, and governance (ESG) performance is negatively associated with the event‐induced cumulative abnormal returns (CAR). One standard deviation change in ESG leads to −0.77%, −0.45%, and −0.61% significant changes in [+1,+5], [−5,+5], and [−7,+7] CAR, respectively. The findings align with the value relevance idea and the reputational risk theory but contradict the reservoir of goodwill hypothesis.