This study challenges the conventional wisdom that investor reactions to Environmental, Social, and Governance (ESG) information are primarily driven by disclosure sentiment. We propose and test an alternative hypothesis: that for investors navigating information-rich environments, the frequency of ESG disclosures can serve as a more potent signal of a firm’s underlying commitment and risk profile than the sentiment of the announcements themselves. Focusing on Taiwan’s capital market—a globally pivotal technology hub—we analyze 2576 firm-initiated ESG events from 2014 to 2023 using an event study methodology. We innovate by employing a BERT-based NLP model, specifically fine-tuned for Traditional Chinese, to disentangle the effects of disclosure frequency from sentiment. Our results reveal that announcement frequency is a more robust predictor of abnormal returns than sentiment, but its effect is highly contingent on the ESG pillar. A higher frequency of negative Social (S) and Governance (G) disclosures incurs a significant market penalty, whereas frequent proactive Environmental (E) disclosures are rewarded. These findings establish a “disclosure frequency premium/penalty” and offer critical, nuanced insights for corporate strategy and sustainable investment. By demonstrating how communication patterns shape market perceptions, this research directly informs UN SDG 12 (Responsible Production) and SDG 16 (Strong Institutions).
Chaomei Liao (Fri,) studied this question.