Jiale Huang
Chinese companies often use quarterly ratings to assess and update their environmental, social and corporate governance (ESG) performance. This approach allows investors and stakeholders to stay informed about a company's performance. This study investigated variations in the effect of ESG announcements made in different months on the cumulative abnormal return (CAR) within seven days before and after each announcement. Specifically, statistical analysis, regression analysis, comparative analysis, and other methods were used to determine the month of announcement having the most profound impact on ESG performance, focusing on the impact of ESG announcements in March, June, September, and December on CAR during the announcement period. In addition, this study introduces an instrumental variable to directly compare differences in the impact of ESG announcements on CAR in these months. The results showed that the impact of ESG announcements on CAR varies during the announcement period. In addition, a direct comparison showed that ESG announcements in March have a more pronounced impact on CAR than those in June and September. This study highlights the effect of ESG, a non-financial indicator, on stock returns and sheds light on whether companies can be benefited through sustainable development.