ESG disclosure of listed companies: an analysis of stock returns, in Brazil
DOI:
https://doi.org/10.21680/2176-9036.2025v17n2ID35905Keywords:
Environment, IFRS, Stock MarketAbstract
Purpose: The main purpose of the research was to evaluate the relationship between ESG (Environment, Social and Governance) disclosure, in line with the new IFRS S1 and IFRS S2 (International Financial Reporting Standards S1 and S2), and the abnormal return of stocks of listed companies.
Methodology: The study sample was comprised of 48 publicly traded Brazilian companies, which enabled an analysis also based on 48 observations. The reports analyzed were for the year 2023, to represent a period closer to the new international requirements on ESG disclosure. Disclosure was evaluated based on a dictionary of words that also considered the context in which the information was disclosed. Regarding the abnormal return, it was estimated through an Event Study. The comparison of the abnormal return against different levels of disclosure was operationalized through the difference of means test.
Results: The main results showed that, on the day after the publication of the reports, the average abnormal return of the group of companies with the highest ESG index was statistically different from the average abnormal return of the other group, which has the lowest ESG index. The descriptive analysis also indicates an important challenge for companies to disclose more detailed elements about ESG disclosure. Regarding the relationship between disclosure and abnormal returns on the publication date (date zero), no significant relationship was observed.
Contributions of the Study: The results indicate an overview of disclosure on ESG matters by companies listed in Brazil, as well as indicating some challenges related to the implementation of the requirements that are now part of the international accounting standards. This can contribute to generating more complete information for investors.
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