To what extent does the stock market react to sustainability report releases by SGX-listed firms, and what drives variation in their responses?

Abstract

This paper investigates how the stock market responds to the release of sustainability reports by firms listed on the Singapore Exchange, and what drives variations in their response. Based on our event study analysis which analyses the cumulative abnormal returns over 5 trading days, we find positive market reaction to the release of sustainability reports by SGX-listed firms. Additionally, we perform heterogeneity tests and regression analysis which reveals certain firm-specific characteristics and report characteristics influencing market reactions towards sustainability reports. Our results highlight the importance of sustainability reporting as a positive signal of firms’ ESG commitment. However, to maximise the informational value and strategic impact of sustainability reports, firm-specific policies and tailored sustainability reporting frameworks are essential.