Effect of news related to ESG on the stock returns of companies listed at ISE
DOI:
https://doi.org/10.4025/enfoque.v45i2.72065Keywords:
ESG, Event Study, ISE, Stock Return, News.Abstract
Purpose: The objective of this research is to analyze the effect of ESG-related news on the stock returns of companies listed on the ISE.
Design/methodology/approach: The final sample is made up of 44 companies and 224 news related to the Environment, 192 related to Governance and 157 related to the Social factor. Data analysis was carried out in two stages, the first qualitative stage with analysis and classification of news according to tone (positive or negative) and the second quantitative stage, with Event Study.
Originality/Value: This study innovates by collecting ESG news published on the Valor Econômico newspaper website between 2018 and 2022 about companies belonging to B3's ISE portfolio.
Results: Regarding the Environmental, Social and Governance factors, the results show a negative effect of news with a negative tone. Regarding the Social factor, a positive effect of positive news was identified. The results also indicate that both positive and negative Governance-related news can have an effect on the stock returns.
Theoretical and practical contributions: In theoretical terms, this study sought to delve deeper into how the market reacts to the release of news about ESG in the Brazilian scenario, contributing to the scope of knowledge on the ESG topic. In practical terms, the results of this study can promote awareness about the effects of environmental, social and governance practices and the consequent effect of publicizing these practices in the media.
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References
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Bassen, A. & Kovács, A. M. (2008). Environmental, Social and Governance Key Performance Indicators from a Capital Market Perspective. zfwu Zeitschrift für Wirtschafts- und Unternehmensethik, 2(9), 179-181.
Bauer, M. W., & Gaskell, G. (2003). Pesquisa qualitativa com texto, imagem e som: um manual prático. 2.ed. Petrópolis - RJ. Editora Vozes Limitada.
Bernardo, G., Ruberti, M., & Verona, R. (2019). Semi-strong inefficiency in the fixed odds betting market: Underestimating the positive impact of head coach replacement in the main European soccer leagues. The Quarterly Review of Economics and Finance, 71, 239-246.
Borges, W. G., Silva, E. C., Rech, I. J., & Carvalho, L. F. (2016). Efeito da divulgação de informações contábeis sobre o desempenho das ações de empresas que migraram para o nível de governança corporativa Novo Mercado. Revista Eletrônica de Administração e Turismo-ReAT, 8(4), 870-889.
Capelle-Blancard, G., & Petit, A. (2019). Every little helps? ESG news and stock market reaction. Journal of Business Ethics, 157, 543-565.
Carretta, A., Farina, V., Martelli, D., Fiordelisi, F., & Schwizer, P. (2011). The impact of corporate governance press news on stock market returns. European financial management, 17(1), 100-119.
Carvalho, L. F. (2008). Eficiência informacional e racionalidade do mercado: testes com ações de empresas que compõem o IGC no período 2003-2007. [Dissertação de Mestrado, Universidade Federal de Uberlândia]
Carvalho, L. F., & Malaquias, R. F. (2012). Anomalias de calendário no mercado brasileiro: uma análise com empresas pertencentes ao IGC. Revista Contemporânea de Economia e Gestão, 10(2), 25-35.
Castro, R. D. de, & Marques, V. A. (2013). Relevância da informação contábil para o mercado de capitais: evidências no mercado brasileiro. Enfoque: Reflexão Contábil, 32(1), 109-124.
Chen, H. Y., & Yang, S. S. (2020). Do investors exaggerate corporate ESG information? Evidence of the ESG momentum effect in the Taiwanese market. Pacific-Basin Finance Journal, 63, 101407.
Colombo, J. A., & Galli, O. C. (2010). Governança corporativa no Brasil: níveis de governança e rendimentos anormais. Revista Portuguesa e Brasileira de Gestão, 9(4), 26-37.
Correa-Garcia, J. A., Garcia-Benau, M. A., & Garcia-Meca, E. (2020). Corporate governance and its implications for sustainability reporting quality in Latin American business groups. Journal of Cleaner Production, 260, 121142.
Daugaard, D. (2020). Emerging new themes in environmental, social and governance investing: a systematic literature review. Accounting & Finance, 60(2), 1501-1530.
Derrien, F., Krueger, P., Landier, A., & Yao, T. (2021). ESG news, future cash flows, and firm value. Swiss finance institute research paper, (21-84).
Dias, V. F. M. B., & Malaquias, R. F. (2021). Corrupção e retorno de ações de empresas listadas na B3. Brazilian Review of Finance, 19(2), 123-150.
Ding, L., Lam, H. K., Cheng, T. C. E., & Zhou, H. (2018). A review of short-term event studies in operations and supply chain management. International Journal of Production Economics, 200, 329-342.
Drempetic, S., Klein, C., & Zwergel, B. (2020). The influence of firm size on the ESG score: Corporate sustainability ratings under review. Journal of Business Ethics, 167, 333-360.
Eijffinger, S. C., & Geraats, P. M. (2006). How transparent are central banks? European Journal of Political Economy, 22(1), 1-21.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617.
Fama, E. (1998). Market Eficiency, Long-term Returns, and Behavioral Finance," forthcoming. Journal of Financial Economics, 49(1998), 283-306.
Fávero, L. P. L., Belfiore, P. P., Silva, F. L. D., & Chan, B. L. (2009). Análise de dados: modelagem multivariada para tomada de decisões. Rio de Janeiro. Elsevier.
Ferrer, B. A. & Klotzle, M. C. (2008). Estudo de Evento sobre o Impacto de Notícias Veiculadas no Jornal Valor Econômico sobre o Valor das Ações [Doctoral dissertation, PUC-Rio] Departamento de Administração, Pontifícia Universidade Católica do Rio de Janeiro. 41p.
Filbeck, G., Robbins, E., & Zhao, X. (2022). Social capital during the coronavirus pandemic: The value of corporate benevolence. Applied Economics, 54(13), 1460-1472.
Flammer C. (2013) Corporate Social Responsibility and Shareholder Reaction: The Environmental Awareness of Investors. Academy of Management Journal, 56(3), 758–781.
Gabriel, A. L., & Feil, A. A. (2019). Análise Relacional Entre O Desempenho Ambiental, Social e Econômico: Estudo das Corporações com Selo ISE da BM&FBOVESPA. Revista Visão: Gestão Organizacional, 8(1), 07-24.
Gaio, L. E., Stefanelli, N. O., Júnior, T. P., Bonacim, C. A. G., & Gatsios, R. C. (2022). The impact of the Russia-Ukraine conflict on market efficiency: Evidence for the developed stock market. Finance Research Letters, 50, 103302.
Gonçalves, A. M., & Galdi, F. C. (2017). A mídia especializada influencia o mercado de capitais? Anais do Congresso da Associação Nacional de Programas de Pós-Graduação em Ciências Contábeis, Belo Horizonte, MG., Brasil, 11. Recuperado de https://anpcont.org.br/pdf/2017/MFC659.pdf
Hkiri, B., Béjaoui, A., Gharib, C., & AlNemer, H. A. (2021). Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach. Heliyon, 7(9), e08028.
Holthausen, R. W., & Watts, R. L. (2001). The relevance of the value-relevance literature for financial accounting standard setting. Journal of accounting and economics, 31(1-3), 3-75.
Jan, A. A., Lai, F. W., & Tahir, M. (2021). Developing an Islamic Corporate Governance framework to examine sustainability performance in Islamic Banks and Financial Institutions. Journal of Cleaner Production, 315, 128099.
Ketola, N. (2022), 60p. ESG news and stock market reaction: Evidence from Nordic countries. [Master of Science in Economics and Business Administration Finance, School of Accounting and Finance, Vaasan Yliopisto University of Vaasa].
Lago, A. A. C. (2013). Conferências de desenvolvimento sustentável. Fundação Alexandre de Gusmão-FUNAG. Brasília. 202p. Gráfica e Editora Ideal.
Li, J., Haider, Z. A., Jin, X., & Yuan, W. (2019). Corporate controversy, social responsibility and market performance: International evidence. Journal of International Financial Markets, Institutions and Money, 60, 1-18.
Malaquias, R. F., & Lemes, S. (2013). Disclosure de instrumentos financeiros segundo as normas internacionais de contabilidade: evidências empíricas de empresas brasileiras. BBR-Brazilian Business Review, 10(3), 85-112.
McWilliams, A., & Siegel, D. (1997). Event studies in management research: Theoretical and empirical issues. Academy of Management Journal, 40(3), 626-657.
Miralles-Quirós, M. M., Miralles-Quirós, J. L., & Gonçalves, L. M. (2018). The value relevance of environmental, social, and governance performance: The Brazilian case. Sustainability, 10(3), 574.
M’ng, J. C. P., Rahman, M., & Kit, G. K. (2020). Announcements effect of corporate bond issuance on share price returns: evidence from three emerging markets. International Journal of Emerging Markets, 15(3), 534-558.
Nicolas, M. L., Desroziers, A., Caccioli, F., & Aste, T. (2023). ESG reputation risk matters: An event study based on social media data. Finance Research Letters, 104712.
Pereira, A. F. A., Stocker, F., Mascena, K. M. C. D., & Boaventura, J. M. G. (2020). Corporate social performance and financial performance in Brazilian companies: analysis of the influence of disclosure. BBR. Brazilian Business Review, 17, 540-558.
Rai, V. K., & Pandey, D. K. (2022). Does privatization of public sector banks affect stock prices? An event study approach on the Indian banking sector stocks. Asian Journal of Accounting Research, 7(1), 71-83.
Rosati, F., & Faria, L. G. (2019). Addressing the SDGs in sustainability reports: The relationship with institutional factors. Journal of cleaner production, 215, 1312-1326.
Sabbaghi, O. (2022). The impact of news on the volatility of ESG firms. Global Finance Journal, 51, 100570.
Sahut, J. M., & Pasquini-Descomps, H. (2015). ESG impact on market performance of firms: International evidence. Management International, 19(2), 40-63.
Sampieri, R. H; Collado, C.F & Lucio, M. P. B. (2013). Metodologia de Pesquisa. 5ª edição. Porto Alegre. Penso.
Schrobback, P., & Meath, C. (2020). Corporate sustainability governance: Insight from the Australian and New Zealand port industry. Journal of Cleaner Production, 255, 120280.
Selltiz, C., Jahoda, M., Deutsch, M., & Cook, S. W. (1975). Método de pesquisa nas relações sociais. 5" ed. São Paulo, EPU–Edusp.
Serafeim, G., & Yoon, A. (2022). Which corporate ESG news does the market react to? Financial Analysts Journal, 78(1), 59-78.
Sorescu, A., Warren, N. L., & Ertekin, L. (2017). Event study methodology in the marketing literature: an overview. Journal of the Academy of Marketing Science, 45, 186-207.
Souza, T. R., Brighenti, J., & Hein, N. (2016). Investimentos ambientais e desempenho econômico-financeiro das empresas brasileiras listadas no índice de sustentabilidade empresarial–ISE. Revista Reuna, 21(2), 97-114.
Stoian, A., & Iorgulescu, F. (2020). Fiscal policy and stock market efficiency: An ARDL Bounds Testing approach. Economic Modelling, 90, 406-416.
Vincentiis, P. (2023). Do international investors care about ESG news? Qualitative Research in Financial Markets, 15(4), 572-588.
Barkemeyer, R., Preuss, L., & Lee, L. (2015). On the effectiveness of private transnational governance regimes—Evaluating corporate sustainability reporting according to the Global Reporting Initiative. Journal of World Business, 50(2), 312-325.
Bassen, A. & Kovács, A. M. (2008). Environmental, Social and Governance Key Performance Indicators from a Capital Market Perspective. zfwu Zeitschrift für Wirtschafts- und Unternehmensethik, 2(9), 179-181.
Bauer, M. W., & Gaskell, G. (2003). Pesquisa qualitativa com texto, imagem e som: um manual prático. 2.ed. Petrópolis - RJ. Editora Vozes Limitada.
Bernardo, G., Ruberti, M., & Verona, R. (2019). Semi-strong inefficiency in the fixed odds betting market: Underestimating the positive impact of head coach replacement in the main European soccer leagues. The Quarterly Review of Economics and Finance, 71, 239-246.
Borges, W. G., Silva, E. C., Rech, I. J., & Carvalho, L. F. (2016). Efeito da divulgação de informações contábeis sobre o desempenho das ações de empresas que migraram para o nível de governança corporativa Novo Mercado. Revista Eletrônica de Administração e Turismo-ReAT, 8(4), 870-889.
Capelle-Blancard, G., & Petit, A. (2019). Every little helps? ESG news and stock market reaction. Journal of Business Ethics, 157, 543-565.
Carretta, A., Farina, V., Martelli, D., Fiordelisi, F., & Schwizer, P. (2011). The impact of corporate governance press news on stock market returns. European financial management, 17(1), 100-119.
Carvalho, L. F. (2008). Eficiência informacional e racionalidade do mercado: testes com ações de empresas que compõem o IGC no período 2003-2007. [Dissertação de Mestrado, Universidade Federal de Uberlândia]
Carvalho, L. F., & Malaquias, R. F. (2012). Anomalias de calendário no mercado brasileiro: uma análise com empresas pertencentes ao IGC. Revista Contemporânea de Economia e Gestão, 10(2), 25-35.
Castro, R. D. de, & Marques, V. A. (2013). Relevância da informação contábil para o mercado de capitais: evidências no mercado brasileiro. Enfoque: Reflexão Contábil, 32(1), 109-124.
Chen, H. Y., & Yang, S. S. (2020). Do investors exaggerate corporate ESG information? Evidence of the ESG momentum effect in the Taiwanese market. Pacific-Basin Finance Journal, 63, 101407.
Colombo, J. A., & Galli, O. C. (2010). Governança corporativa no Brasil: níveis de governança e rendimentos anormais. Revista Portuguesa e Brasileira de Gestão, 9(4), 26-37.
Correa-Garcia, J. A., Garcia-Benau, M. A., & Garcia-Meca, E. (2020). Corporate governance and its implications for sustainability reporting quality in Latin American business groups. Journal of Cleaner Production, 260, 121142.
Daugaard, D. (2020). Emerging new themes in environmental, social and governance investing: a systematic literature review. Accounting & Finance, 60(2), 1501-1530.
Derrien, F., Krueger, P., Landier, A., & Yao, T. (2021). ESG news, future cash flows, and firm value. Swiss finance institute research paper, (21-84).
Dias, V. F. M. B., & Malaquias, R. F. (2021). Corrupção e retorno de ações de empresas listadas na B3. Brazilian Review of Finance, 19(2), 123-150.
Ding, L., Lam, H. K., Cheng, T. C. E., & Zhou, H. (2018). A review of short-term event studies in operations and supply chain management. International Journal of Production Economics, 200, 329-342.
Drempetic, S., Klein, C., & Zwergel, B. (2020). The influence of firm size on the ESG score: Corporate sustainability ratings under review. Journal of Business Ethics, 167, 333-360.
Eijffinger, S. C., & Geraats, P. M. (2006). How transparent are central banks? European Journal of Political Economy, 22(1), 1-21.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617.
Fama, E. (1998). Market Eficiency, Long-term Returns, and Behavioral Finance," forthcoming. Journal of Financial Economics, 49(1998), 283-306.
Fávero, L. P. L., Belfiore, P. P., Silva, F. L. D., & Chan, B. L. (2009). Análise de dados: modelagem multivariada para tomada de decisões. Rio de Janeiro. Elsevier.
Ferrer, B. A. & Klotzle, M. C. (2008). Estudo de Evento sobre o Impacto de Notícias Veiculadas no Jornal Valor Econômico sobre o Valor das Ações [Doctoral dissertation, PUC-Rio] Departamento de Administração, Pontifícia Universidade Católica do Rio de Janeiro. 41p.
Filbeck, G., Robbins, E., & Zhao, X. (2022). Social capital during the coronavirus pandemic: The value of corporate benevolence. Applied Economics, 54(13), 1460-1472.
Flammer C. (2013) Corporate Social Responsibility and Shareholder Reaction: The Environmental Awareness of Investors. Academy of Management Journal, 56(3), 758–781.
Gabriel, A. L., & Feil, A. A. (2019). Análise Relacional Entre O Desempenho Ambiental, Social e Econômico: Estudo das Corporações com Selo ISE da BM&FBOVESPA. Revista Visão: Gestão Organizacional, 8(1), 07-24.
Gaio, L. E., Stefanelli, N. O., Júnior, T. P., Bonacim, C. A. G., & Gatsios, R. C. (2022). The impact of the Russia-Ukraine conflict on market efficiency: Evidence for the developed stock market. Finance Research Letters, 50, 103302.
Gonçalves, A. M., & Galdi, F. C. (2017). A mídia especializada influencia o mercado de capitais? Anais do Congresso da Associação Nacional de Programas de Pós-Graduação em Ciências Contábeis, Belo Horizonte, MG., Brasil, 11. Recuperado de https://anpcont.org.br/pdf/2017/MFC659.pdf
Hkiri, B., Béjaoui, A., Gharib, C., & AlNemer, H. A. (2021). Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach. Heliyon, 7(9), e08028.
Holthausen, R. W., & Watts, R. L. (2001). The relevance of the value-relevance literature for financial accounting standard setting. Journal of accounting and economics, 31(1-3), 3-75.
Jan, A. A., Lai, F. W., & Tahir, M. (2021). Developing an Islamic Corporate Governance framework to examine sustainability performance in Islamic Banks and Financial Institutions. Journal of Cleaner Production, 315, 128099.
Ketola, N. (2022), 60p. ESG news and stock market reaction: Evidence from Nordic countries. [Master of Science in Economics and Business Administration Finance, School of Accounting and Finance, Vaasan Yliopisto University of Vaasa].
Lago, A. A. C. (2013). Conferências de desenvolvimento sustentável. Fundação Alexandre de Gusmão-FUNAG. Brasília. 202p. Gráfica e Editora Ideal.
Li, J., Haider, Z. A., Jin, X., & Yuan, W. (2019). Corporate controversy, social responsibility and market performance: International evidence. Journal of International Financial Markets, Institutions and Money, 60, 1-18.
Malaquias, R. F., & Lemes, S. (2013). Disclosure de instrumentos financeiros segundo as normas internacionais de contabilidade: evidências empíricas de empresas brasileiras. BBR-Brazilian Business Review, 10(3), 85-112.
McWilliams, A., & Siegel, D. (1997). Event studies in management research: Theoretical and empirical issues. Academy of Management Journal, 40(3), 626-657.
Miralles-Quirós, M. M., Miralles-Quirós, J. L., & Gonçalves, L. M. (2018). The value relevance of environmental, social, and governance performance: The Brazilian case. Sustainability, 10(3), 574.
M’ng, J. C. P., Rahman, M., & Kit, G. K. (2020). Announcements effect of corporate bond issuance on share price returns: evidence from three emerging markets. International Journal of Emerging Markets, 15(3), 534-558.
Nicolas, M. L., Desroziers, A., Caccioli, F., & Aste, T. (2023). ESG reputation risk matters: An event study based on social media data. Finance Research Letters, 104712.
Pereira, A. F. A., Stocker, F., Mascena, K. M. C. D., & Boaventura, J. M. G. (2020). Corporate social performance and financial performance in Brazilian companies: analysis of the influence of disclosure. BBR. Brazilian Business Review, 17, 540-558.
Rai, V. K., & Pandey, D. K. (2022). Does privatization of public sector banks affect stock prices? An event study approach on the Indian banking sector stocks. Asian Journal of Accounting Research, 7(1), 71-83.
Rosati, F., & Faria, L. G. (2019). Addressing the SDGs in sustainability reports: The relationship with institutional factors. Journal of cleaner production, 215, 1312-1326.
Sabbaghi, O. (2022). The impact of news on the volatility of ESG firms. Global Finance Journal, 51, 100570.
Sahut, J. M., & Pasquini-Descomps, H. (2015). ESG impact on market performance of firms: International evidence. Management International, 19(2), 40-63.
Sampieri, R. H; Collado, C.F & Lucio, M. P. B. (2013). Metodologia de Pesquisa. 5ª edição. Porto Alegre. Penso.
Schrobback, P., & Meath, C. (2020). Corporate sustainability governance: Insight from the Australian and New Zealand port industry. Journal of Cleaner Production, 255, 120280.
Selltiz, C., Jahoda, M., Deutsch, M., & Cook, S. W. (1975). Método de pesquisa nas relações sociais. 5" ed. São Paulo, EPU–Edusp.
Serafeim, G., & Yoon, A. (2022). Which corporate ESG news does the market react to? Financial Analysts Journal, 78(1), 59-78.
Sorescu, A., Warren, N. L., & Ertekin, L. (2017). Event study methodology in the marketing literature: an overview. Journal of the Academy of Marketing Science, 45, 186-207.
Souza, T. R., Brighenti, J., & Hein, N. (2016). Investimentos ambientais e desempenho econômico-financeiro das empresas brasileiras listadas no índice de sustentabilidade empresarial–ISE. Revista Reuna, 21(2), 97-114.
Stoian, A., & Iorgulescu, F. (2020). Fiscal policy and stock market efficiency: An ARDL Bounds Testing approach. Economic Modelling, 90, 406-416.
Vincentiis, P. (2023). Do international investors care about ESG news? Qualitative Research in Financial Markets, 15(4), 572-588.
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2026-05-04
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Effect of news related to ESG on the stock returns of companies listed at ISE. (2026). Enfoque: Reflexão Contábil, 45(2), 160-179. https://doi.org/10.4025/enfoque.v45i2.72065
