Is ESG disclosure relevant for market valuation? A comparative analysis between Chile and Spain

This study examines whether Environmental, Social, and Governance (ESG) performance is financially material to equity valuation by comparing firms listed in Spain and Chile over 2010–2022. Using a firm-year panel of 63 companies and fixed-effects regressions, we assess the association between stock prices and aggregate ESG disclosure, alongside board independence and core financial fundamentals. ESG metrics come from Bloomberg; financial controls include ratios, leverage, and net income per share. At the aggregate level, results indicate that ESG materiality is context-dependent. In Spain, aggregate ESG is positively and economically associated with valuation, suggesting a premium for credible sustainability communication in a more developed and regulated environment. In Chile, ESG effects are weaker and less stable, while traditional fundamentals remain the primary drivers of valuation. Size-based analyses reveal marked asymmetries. Among large-cap firms, the ESGvaluation link is strong and significant—especially in Spain—consistent with greater disclosure capacity and investor scrutiny. Among small/mid-caps, ESG retains a positive but more modest and less consistent association with price. Overall, the evidence suggests that ESG integration can enhance valuation in developed markets and among larger firms, whereas in emerging markets and smaller firms its impact remains limited relative to conventional financial determinants.