Se-Hee Jeong, Jeong-Ji Han, Soyoung Jun, Shawn Kim, Jong Woo Kim
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Investor Responses to ESG News Sentiment: Exploring Differential Effects and Industry Moderation
Environmental, social, and governance (ESG) principles have gained prominence in the capital markets. While ESG ratings are widely used to assess corporate sustainability, their disagreement and time lag limit their effectiveness for investors. This study proposes ESG news sentiment as an alternative measure of corporate ESG activities and investigates the investor responses to it. Using sustainability reports, we developed lexicons to classify news into ESG and non-ESG categories and further categorized ESG news into environmental, social, and governance dimensions. Through hierarchical regression analysis, we examine the impact of media-derived ESG factors on market value and stock returns. Our findings reveal that ESG news sentiment is more positively associated with firm performance compared to non-ESG news. This is particularly evident for social and governance dimensions, with effects varying across industries depending on their ESG concerns. These results demonstrate the value of ESG news sentiment analysis in understanding market responses to corporate sustainability practices.
期刊介绍：
Corporate Social Responsibility and Environmental Management is a journal that publishes both theoretical and practical contributions related to the social and environmental responsibilities of businesses in the context of sustainable development. It covers a wide range of topics, including tools and practices associated with these responsibilities, case studies, and cross-country surveys of best practices. The journal aims to help organizations improve their performance and accountability in these areas.
The main focus of the journal is on research and practical advice for the development and assessment of social responsibility and environmental tools. It also features practical case studies and evaluates the strengths and weaknesses of different approaches to sustainability. The journal encourages the discussion and debate of sustainability issues and closely monitors the demands of various stakeholder groups. Corporate Social Responsibility and Environmental Management is a refereed journal, meaning that all contributions undergo a rigorous review process. It seeks high-quality contributions that appeal to a diverse audience from various disciplines.
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