A Study on the Impact of ESG Disclosure Policies on Corporate Stock Returns Based on the Difference-in-Differences (DID) Method

Abstract

Under the background of "dual carbon" goal and the deepening of ecological environment governance, implementation of "Measures for the Management of Enterprise Environmental Information Disclosure according to Law" (2022) requires key polluters to disclose environmental information and promotes the capital market to pay attention to the environmental behavior of enterprises. This study takes the A-share heavy polluters from 2019 to 2023 as the sample, sets 412 enterprises that had been included in the key polluters before the policy as the experimental group, and matches 824 non-key polluters as the control group. Results show that after the implementation of the policy, the abnormal return rate of the experimental group is significantly higher than that of the control group (coefficient is 0.003, p<0.01), and the effect is more prominent in the enterprises with high quality of environmental information disclosure. Event study further showed that the cumulative abnormal return of the experimental group within the policy announcement window was 1.2% (p<0.05). Conclusion shows that the environmental information disclosure policy reduces information asymmetry by enhancing corporate environmental transparency, effectively improves the market evaluation of heavy polluting enterprises, verifies the capital market incentive effect of the policy, and provides empirical evidence for the synergy between environmental regulation and corporate environmental responsibility.