摘要：ESG investment, a new form of portfolio allocation that takes into consideration the non-financial factors of firms such as environmental (E), social (S), and corporate governance (G) issues in business, has gained prominence in the capital market. However, empirical evidence on the attractiveness to investors and resultant stock price reaction toward ESG-oriented firms has been scarce both inside and outside Japan. This study performs event study analysis to explore stock market reaction to the announcement of the “ESG Brand” consisting of firms that are judged to make serious efforts in favor of ESG aspects in business among the companies listed on the Tokyo Stock Exchange. The Brand selection was conducted after positive screening by a third party in an objective manner. Our finding reveals little evidence of a positive and significant stock price reaction to the Brand announcement around the event day. In addition, the result is not altered in terms of cumulative abnormal returns over a longer term. We conclude that the stock market did not respond to the announcement of the ESG Brand.
关键词：ESG ; event study ; Japan's stock market ; SRI ; CSR ; Tokyo Stock Exchange
