Breadth of ESG disclosure and the information content of stock prices

42 Pages Posted: 10 Jul 2020 Last revised: 23 Dec 2020

Date Written: June 18, 2020


This study examines whether ESG (environmental, social and governance) disclosure influences the capacity of stock prices to impound information about a firm’s future earnings. Our main research hypothesis postulates that greater information disclosure about ESG activities and risks should weigh on the association between returns and future earnings if that disclosure is accurate, complete and credible. An extension of the future earnings response coefficient (FERC) model is employed in that greater FERC is expected for firms which have a high rating for ESG disclosure. The study covers highly developed countries and the period spanning 2007-2018. Overall, our findings confirm the usefulness of ESG disclosure, as it affects the information content of prices about future earnings. Indeed, greater breadth of ESG disclosure is associated with greater price informativeness. Our results also suggest that disclosure about social issues matters more to price informativeness than environmental and corporate governance information. Finally, we show that the impact of breadth of ESG disclosure on price informativeness is concentrated on firms that present lower performance in terms of sustainability.

Keywords: ESG; Disclosure; Price Informativeness

JEL Classification: G14; G30; Q56; M40

Suggested Citation

Pereira da Silva, Paulo, Breadth of ESG disclosure and the information content of stock prices (June 18, 2020). Available at SSRN: or

Paulo Pereira da Silva (Contact Author)

Universidade de Évora - CEFAGE-UE ( email )

Largo dos Colegiais 2
Evora, 7000-803

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics