Bigger Fish to Fry: The Interdependence of Earnings and ESG News in Investor Screening

43 Pages Posted: 21 Nov 2022

See all articles by Austin Moss

Austin Moss

University of Colorado Boulder

James P. Naughton

University of Virginia, Darden School of Business

Clare Wang

University of Colorado at Boulder - Leeds School of Business

Ira Yeung

University of British Columbia (UBC) - Sauder School of Business

Date Written: November 1, 2022

Abstract

We examine how investors respond to concurrent financial and ESG performance news and the implications of their response for investor screening. Our analyses reveal that investors respond more strongly to ESG performance news during earnings announcement (EA) periods than non-EA periods. We also show that negative ESG performance news is typically more salient to investors, and that investors conduct negative screening based on this dimension. In contrast, investors do not screen on ESG performance news when earnings information is negative. Collectively, our results highlight the interdependence between investor use of information from different sources, and thereby contribute to a more complete understanding of the joint importance of financial and ESG performance information in evaluating investment alternatives.

Keywords: ESG, Earnings Announcements, ESG Disclosure, CSR

JEL Classification: M41, D83, G14, G32

Suggested Citation

Moss, Austin and Naughton, James P. and Wang, Clare and Yeung, Ira, Bigger Fish to Fry: The Interdependence of Earnings and ESG News in Investor Screening (November 1, 2022). Available at SSRN: https://ssrn.com/abstract=4266302 or http://dx.doi.org/10.2139/ssrn.4266302

Austin Moss

University of Colorado Boulder ( email )

Boulder, CO 80309
United States

James P. Naughton

University of Virginia, Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States

Clare Wang (Contact Author)

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

Ira Yeung

University of British Columbia (UBC) - Sauder School of Business ( email )

2053 Main Mall
Vancouver, BC V6T 1Z2
Canada

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