Investor Integration of Earnings and ESG News

46 Pages Posted: 21 Nov 2022 Last revised: 20 Nov 2024

See all articles by Austin Moss

Austin Moss

University of Colorado at 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 whether and how investors integrate earnings and ESG news. This research
question is important given the increasing interconnectedness of ESG and financial information as
well as the extraordinary growth in the demand for ESG information by investors and regulators.
During earnings announcement periods, our analyses show that investors’ reaction to ESG news
depends on the direction of earnings news, as investors price salient ESG news when earnings
news is positive but not when earnings news is negative. Outside earnings announcement periods,
our analyses show that the investor response to salient ESG news varies based on the earnings
news from the prior quarter. Collectively, our results indicate that earnings performance plays a
critical role in the investor response to ESG news, a finding that has substantial implications for
the growing literature that evaluates how investors integrate ESG news into their trading decisions.

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, Investor Integration of Earnings and ESG News (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 at Boulder ( email )

Boulder, CO 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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