Stock Market Reactions to Firms’ First Publication of Sustainability Reports: Evidence from multiple industries in Nordic countries, the United States, and China

Sammanfattning: This study investigates the market reactions to firms’ first publication of sustainability reports. The data of listed companies in the Nordic, the United States, and Chinese stock markets are utilized to examine whether the event leads to abnormal returns in the short term and whether the results are identical across regions. The companies are divided into two groups based on their impact on the environment and society to investigate industry-specific characteristics. Evidence from model estimations demonstrates that companies that release their sustainability reports for the first time generate negative abnormal returns in the short term and that both groups show similar results. One potential reason is that investors assume the cost of the investment in sustainability exceeds the potential future returns. The results also show that Nordic countries have a higher level of market efficiency when it comes to sustainability-related events. The cross-sectional regression shows that three regions have distinct characteristics. Investors in Nordic countries care more about the environment and ESG, while the tone of the context in the sustainability reports is more significant in the US and Chinese markets.