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Environ
Impact of environmental, social mental, social
and governance disclosures on and
governance
market reaction: an evidence of
Top50 companies listed
from Thailand Received 26 December 2020
Revised 16 February 2021
Accepted 28 March 2021
Muttanachai Suttipun and Thanyaorn Yordudom
Faculty of Management Sciences, Prince of Songkla University – Hat Yai Campus,
Hat Yai, Songkhla, Thailand

Abstract
Purpose – This study aims to survey the extent, level and trend of environmental, social and governance
(ESG) disclosures of top50 listed companies from Thailand, to test the different level of ESG disclosures of the
companies between high profile industry and low profile industries and to examine the impact of ESG
disclosures on the market reaction of top50 listed companies in Thailand.
Design/methodology/approach – Population and sample were top50 listed companies from the Stock
Exchange of Thailand. Using corporate annual reports from 2015 to 2019, content analysis by word counting
was used to quantify the extent, level and trend of ESG disclosures, while the market reaction was collected
by the average stock price. Descriptive analysis, independent sample t-test, correlation matrix and multiple
regression were used to analyze the data.
Findings – There was an increased level of ESG disclosures during the period being study. The most
common ESG disclosures were social disclosure following by governance and environmental disclosures.
Moreover, there were different levels of environmental disclosure of top50 listed companies between high and
low profile industries, while no different levels of social and governance disclosures between high and low
profile industries were found. Finally, the study found that environmental and social disclosures had a
positive impact on market reaction, while there was a negative impact of governance disclosure on market
reaction.
Originality/value – Thai investors can use ESG disclosures for their decision-making on investment.
Keywords Environmental, Social and governance disclosures, Market reaction, Top50, Thailand
Paper type Research paper

1. Introduction
Corporate sustainable development has become the main goal of businesses around the
world at the moment. Even though the economic (financial) performance is still important
for corporate short-term performance, environmental and social performance can be used to
assess corporate long-term performance (Mahadeo et al., 2011). Therefore, in today’s world, a
balance of economic, environmental and social performances, which are called triple bottom
line performance, can lead corporations to sustainability (Elkington, 1998). Moreover, within
sustainable development, the corporations need to serve not only some groups of
stakeholders such as shareholders, investors and creditors but also the other stakeholder
Journal of Financial Reporting and
Accounting
© Emerald Publishing Limited
1985-2517
JEL classification – M40, M41, M48 DOI 10.1108/JFRA-12-2020-0377
JFRA groups such as customers, labor, government officers, society and community and
environmental lobbies. In Thailand, the listed companies have been asked by the Stock
Exchange of Thailand (SET) to provide environmental, social and governance (ESG)
disclosures in their annual reports, where the corporations provide financial information
reporting since 2015 [The Stock Exchange of Thailand (SET), 2015]. However, ESG
disclosures are still voluntary reporting in Thailand. ESG disclosures aim to support the
stakeholders’ needs as well as corporate sustainable development. Thai listed companies,
which would like to report ESG information in their annual reports, are chosen by the SET
as the Thailand Sustainable Investment (THSI) companies. Those companies need to
provide ESG disclosures under the THSI guideline that has been adapted from the Global
Reporting Initiative (GRI) Standards. In addition, ESG disclosures by the guideline focus on
ESG-in-process and ESG-in-product instead of ESG-after-process (Association of Thai
Securities Companies, 2018). The importance of ESG disclosures allows the companies to
develop more efficient businesses. In addition, if the companies have transparent high-
quality internal management, the corporations will reduce the risk of fraud, cost of training
new employees, as well as increase the quality and per employee productivity of products.
ESG disclosures not only benefit the corporations that provide the information but also
all corporate stakeholders. To investors, the advantages of corporate ESG disclosures are
that the corporations can increase firm value as well as market reactions (Barnett and
Salomon, 2012). The positive impact of ESG disclosures on market reactions and firm value
can be explained by using signaling theory. It is because ESG disclosures can close or
reduce information asymmetry between the corporations and their investors. Therefore, the
investors will positively react, if the corporations serve their demands by providing enough
information in ESG disclosures to them for decision-making.
However, there are only a few prior related studies in Thailand examining the influences
of ESG disclosures on market reactions (Hodkam, 2016; Lo and Kwan, 2017; Huaypad, 2019).
Moreover, the prior related literature includes conflicting and mixed results. Or example,
Brecht et al. (2018) and Huaypad (2019) found a positive impact of ESG disclosures on
market reactions. The main reason is that the investors have an interest in the disclosures
and this affects the decision-making regarding investments into the corporations. On the
other hand, ESG disclosures can cost and reduce the corporate performance negatively
affecting investors’ reactions (Kirkerud and Tran, 2019). However, Busru and
Shanmugasundaram (2016) did not find any influence of ESG disclosures on market
reactions.
Based on the above overview of prior research and issues, this study aimed:

to survey extent, level and trends of ESG disclosures of the top50 listed companies
in the SET;

to test for the difference in the levels of ESG disclosures by companies between high
profile industries and low profile industries; and

to examine impacts of ESG disclosures on market reactions to the top50 listed
companies in Thailand.

Therefore, there were three main research questions, which are:

(1) what are the extent, level and trends of ESG disclosures of listed companies in the
SET;
(2) is there a significant difference in the level of ESG disclosures between high and
low profile industries; and
 (3) which ESG disclosures can impact market reactions to the listed companies in Environ
Thailand? mental, social
In research structure, this study has begun with a literature review of theoretical and
perspective, ESG disclosures in Thailand and hypothesis development in Section 2. Next, governance
methods are explained regarding population and sample, data collection, variable
measurement and data analysis in Section 3. Findings are tested and elaborated in Section 4.
Finally, a conclusion and suggestions for future study are provided, including limitations
and implications of the current study in Section 5.

2. Literature review
2.1 Theoretical perspective
There are several theories explaining the influences of non-financial information disclosures
i.e. environmental disclosures, corporate social responsibility disclosures, sufficiency
economy philosophy disclosures and triple bottom line reporting on firm value such as
legitimacy theory (Di Danto and Izzo, 2012), stakeholder theory (Mahadeo et al., 2011;
Caroline, 2012; Suttipun and Sittidate, 2016), agency theory (Brecht, 2018) and signaling
theory (Barnett and Solomon, 2012; Heijnen and Van de Made, 2012; Jizi et al., 2016; Lo and
Kwan, 2017; Almeyda and Darmansya, 2019). However, this study used signaling theory to
explain empirical reasons for the impacts of ESG disclosures on the firm value of the listed
companies in the Thai context. This is because ESG disclosures, which are provided by Thai
corporations, are used to reduce or close information asymmetry between the corporations
and investors. Thus, if the investors have enough financial information (from financial
statements and accounting notes) and non-financial information (from ESG disclosures),
they will have greater information to make investment decisions.
Spence (1973) explained that top management has more information than its investors.
This is because the top management’s decisions can send any signal to the investors for
decision-making in the future. For example, companies boycotted by customers will send a
negative signal to the investors about corporate competitive advantage and growth
opportunities (Heijnen and Van de Made, 2012). Therefore, signaling theory can be adopted
in this study to explain the impacts of ESG disclosures on market reactions because the
companies send a good signal of non-financial information represented by ESG disclosures
to the investors, who use the information for their decision-making regarding investments
(Barnett and Solomon, 2012; Lo and Kwan, 2017).

2.2 Environmental, social and governance disclosures in Thailand

The SET has adapted GRI Guideline for listed companies in the main capital market to
assess and evaluate their long-term economic, social and environmental performances,
including sustainable development. Moreover, the notion of GRI is also useful to investors
who need to have enough information for their decision-making. Therefore, ESG disclosures
in Thailand are part of the GRI Guideline.
ESG disclosures have been developed and supported by the SET in 2015 and the
disclosures are part of corporate sustainable development. The main importance of ESG
disclosures is:

the process of observing and consolidating data on sustainability to serve corporate
evaluation and to improve business efficiency, including reducing risks and creating
opportunities to earn income or reduce operating expenses;
JFRA
the process that analyzes stakeholders and supports communication and
comprehension of issues that stakeholders react to, for corporate management to
maintain their competitiveness;

the credibility of the corporate in reflecting its role and responsibility along with a
representation of performance for corporate growth sustainably;

providing tools to reflect the potential of the business and attraction to investors
who want to invest in quality corporations and create long-term returns; and

focusing on ESG-in-process and ESG-in-product rather than ESG-after-process.

Many companies in the SET have been chosen by the SET as THSI firms that provide ESG
disclosures in their annual reports. Moreover, ThaiPat, which is an organization in the SET,
has provided ThaiPat ESG Index for the investors to compare investment returns and a
database for their decision-making. There were 124 listed companies in Thailand being in
THSI group (Association of Thai Securities Companies, 2019). In addition, most companies
in THSI group are large-sized companies such as top50 firms or top100 firms.
ESG disclosures are classified by 11 points within the three dimensions of ESG. The first
dimension, environment disclosure, is divided into energy management, water management,
waste management and greenhouse gas management. The second dimension, social
disclosure, consists of human resources to be equitable and fair, taking care of safety and
occupational health including good relations with communities by proper treatment of
workers/employees, responsibility to customers and social/community development.
Finally, governance disclosure is to provide good corporate governance policy, transparent
operation, resisting corruption and protecting the benefits of stakeholders. The dimension
consists of good governance, sustainability risk management, supply chain management
and innovation.

2.3 Hypothesis development

From the literature review, there are three main hypotheses in this study. When considering
the impact of environmental disclosures on market reactions, most prior related studies
found a positive relationship between these variables (Jizi et al., 2016; Jagannathan et al.,
2017; Yoon et al., 2018; Almeyda and Darmansyah, 2019). The logical reason for a positive
impact of environmental disclosure on market reactions, measured by average stock market
price, is that the companies try to provide activities to serve stakeholders’ demands, thus,
their stakeholders including the investors will positively react by investment decisions
(Jagannathan et al., 2017). Moreover, corporate environmental responsibility can reduce the
risk and uncertainty of stock price declines in the future (Lee, 2016). On the other hand, Kim
et al. (2016) found a negative influence of environmental disclosures on performance in stock
price. This is because the cost of the environmental impact sent a negative signal to the
investors, reflected in the stock price. However, Hodkam (2016) did not find any influence of
environmental disclosures on the firm value measured. Therefore, to assess the situation in
the Thai context, the study hypothesizes that:

H1. Environmental disclosure has a positive impact on market reaction to the top50
firms in Thailand.
Mostly the prior related literature has found positive impacts of social disclosures on market
reactions (Caroline, 2012; Lee, 2016; Jizi et al., 2016; Lo and Kwan, 2017; Khajavai et al., 2018;
Yoon et al., 2018). This is because the investors positively react to the corporate activities
and actions to satisfy social expectations (Dai et al., 2018) and the impact of corporate social
responsibility can reduce drops in the stock price by avoiding some risks and uncertainty Environ
(Lee, 2016). In addition, social disclosures can reduce conflicts between corporations and mental, social
their investors by removing problematic information asymmetry (Barnett and Solomon, and
2012). However, some studies have found negative influences of social disclosures on market
reactions (Di Donato and Izzo, 2012; Barnea and Rubin, 2006). This is because corporate
governance
activities and actions on social responsibility are a cost to the corporation, reducing
shareholder income and firm value. Therefore, this study posed the hypothesis:

H2. Social disclosure has a positive impact on market reactions to top50 firms in
Thailand.
Many previous related studies have found a positive impact of governance disclosure on
market reactions (Yoon et al., 2018; Kosanlawit, 2019; Malik, 2012) because corporate
governance plays an important role in affecting its market price. Moreover, the corporations
can improve corporate governance to increase the firm value. For example, Kim et al. (2014)
found that the stock price crash risk is significant when corporate governance is ineffective.
Uwuigbe (2013) found that the ownership structure negatively influences the stock price,
while the audit committee had a positive influence on the stock price. It was concluded that
differences in governance practices often involve differences also in the audit committees
(especially in the independence of the Audit Committee). The independence of the audit
committee serves the monitoring of financial reports and external audits are more effective.
However, Busru and Shanmugasundaram (2016) did not find any impact of governance
disclosure on market reaction. Although the previous related studies found negative
influences or did not find the influence of governance on firm value, the reason for
the negative impact of governance disclosure on market reactions may be that the content
and tone of corporate governance disclosure had both positive and negative aspects that can
affect stock prices (Carretta et al., 2011). However, this study poses the hypothesis:

H3. Governance disclosure has a positive impact on market reaction to top50 firms in
Thailand.

3. Methods
Population and sample were the top50 listed companies from the SET during 2015 to 2019.
Data used in this study were collected from two main sources. In terms of ESG disclosures,
first, data from corporate annual reports from 2015 to 2019 were used. Moreover, the annual
reports of the sample were used to collect corporate characteristics such as name, corporate
age, corporate size, firm profitability, firm leverage and corporate industry type. Corporate
characteristics were used as control variables in this study. As the other source, market
reactions were shown by average stock prices of the top50 companies in Thailand, from the
website of the SET.
Content analysis was used in this study to quantify the ESG disclosures because it can
partly automate the analysis of the disclosure contents (Rose et al., 2015). There are several
types of content analysis such as page counting, sentence counting or word counting.
However, word counting was selected to quantify the ESG in this study because

word is the smallest unit providing more detail than page or sentence counting; and

word count is more suitable for Thai language reporting than the other types of
counting.
JFRA For example, Thai language text cannot be counted by using sentences because Thai
language text does not have a full stop in sentence breaks. In addition, page counting
provides a limitation because it does not consider different font sizes (Wongkor, 2019).
Therefore, content analysis by word counting was used to quantify the extent and level of
ESG disclosures in annual reports of listed companies from the SET during 2015 to 2019.
There were three main groups of variables used in this study, which are ESG disclosures
as independent variables, market reaction measured by stock price as the dependent
variable and corporate characteristics as control variables. In terms of the independent
variables, ESG disclosures were separated into three variables as ESG disclosures [The
Stock Exchange of Thailand (SET), 2015]. Within 11 items, environment disclosure provided
the 4 items energy management, water management, waste management and greenhouse
gas management, while social disclosure consisted of the 3 items treatment of workers/
employees, responsibility to customers and social/community development. Finally,
governance disclosure provided the 4 items good governance, sustainability risk
management, supply chain management and innovation. All 11 items of corporate ESG
disclosures were set by the SET that had adopted and selected them from the guideline of
GRI Standard [The Stock Exchange of Thailand (SET), 2017; GRI, 2020]. For example,
environmental disclosure was adopted from GRI Standard Code302 (energy management),
Code303 (water management), Code305 (gas emission management) and Code306 (effluent
and waste management). Social disclosure was selected from GRI Standard Code403
(occupational health and safety), Code404 (training and education), Code405 (diversity and
opportunity), Code413 (local society and community) and Code416 (customer health and
safety). Finally, governance disclosure was adapted from GRI standard Code103 (good
corporate governance approach), Code205 (anti-corruption and risk management), Code418
(supply chain management) and Code102 (innovation). Moreover, all 11 items of ESG
disclosures in Thailand were considered from ESG-in-process and ESG-in-product rather
than from ESG-after-process (Association of Thai Securities Companies, 2018).
Market reaction as a dependent variable was measured by average stock price within
five days after the top50 firms launched their annual report. Moreover, corporate
characteristics such as firm size, corporate age, profitability, firm risk and corporate
industry type were measured by the proxies that were used in prior related literature
(Suttipun and Sittidate, 2016; Hodkam, 2016; Huaypad, 2019). All variable measurements
used in this study are indicated in Table 1. For example, an industry type was classified into
two types, as high or low profile industry, which is considered by environmental and social
impacts from corporate actions and activities (Suttipun and Nuttaphon, 2014; Suttipun and
Sittidate, 2016).

Variables used Notation Measurement

Environmental disclosure ED Word count

Social disclosure SD Word count
Governance disclosure GD Word count
Market reaction MP Market price
Corporate size SIZE Natural logarithm of total assets
Corporate age AGE Age of corporate (year)
Profitability ROA Return on asset ratio
Leverage RISK Debt to equity ratio
Table 1. Industry type TYPE Dummy variable as 1 = high profile industry and 0 = low
Variable’s proxies profile industry
Within the three main objectives, descriptive analysis was used to investigate the extent, Environ
level and trend of ESG disclosures in corporate annual reports of the top50 listed companies mental, social
in Thailand from 2015 to 2019, while an independent sample t-test was used to test the
different levels of ESG disclosures of top50 companies between high and low profile
and
industries. Correlation matrix was used to test for multicollinearity between all variables governance
used in this study. Finally, multiple regression was used to test for the influence of ESG
disclosures on market reactions measured by the average stock price of top50 listed
companies in Thailand. The regression equation was as follows:

ED ¼ b 0 þ b 1ED þ b 2SD þ b 3GD þ b 4SIZE þ b 5AGE þ b 6ROA þ b 7RISK

þ b 8TYPE þ «

4. Findings and discussion

For the top50 companies listed in Thailand, 250 corporate annual reports from 2015 to
2019 were used in this study. To investigate the extent, level and trend of ESG
disclosures, Table 2 summarizes the extent and level of average ESG disclosures as
317.252 (SD = 270.905), 1,253.714 (SD = 704.476) and 1,214.590 (SD = 561.439) by average
word count. There was an increase in ESG disclosures during the period of study. The
most common ESG disclosure was a social disclosure, followed by governance and
environmental disclosures.
The reason why social information was the most common disclosure among ESG
disclosures of top50 listed companies in Thailand is that although social disclosure was still
voluntary reporting in Thailand, the SET will ask for a stand-alone report if a Thai listed
company does not provide social information disclosure in the annual report. Moreover,
there was no standard for reporting social information in the corporate annual report, thus,
the corporations can provide only good social information news to their stakeholders
including investors, who are going to use this information for decision-making. On the other
hand, the second most common disclosure was governance information reporting. This may
be because governance disclosure is regulated by the SET, therefore, the corporations need
to disclose, even though they may have to provide bad news.
Separating the samples in this study into two types of industries, namely, high and
low profile industries, based on environmental and social impact from corporate actions
and activities, Table 3 indicates that the level of ESG disclosures of listed companies in
high profile industry were 357.350 average words (SD = 292.723), 1,265.408 average
words (SD = 672.446) and 1,249.766 average words (SD = 588.514), while firms in low
profile industry provided 263.788 average words (SD = 229.592) in environmental
disclosure, 1,238.122 average words (SD = 748.600) in social disclosure and 1,167.688
average words (SD = 522.716) in governance disclosure. In a high profile industry, the
proportions of ESG disclosures were 1:3.5:3.5, but 1:4.7:4.4 in low profile industries. To
test for ESG disclosures between high and low profile industries, an independent
sample t-test was used in Table 3. It was found that there were significantly different
levels of environmental disclosures between high and low profile industries at p = 0.01
level, but not different levels of social and governance disclosures even at p = 0.05 level.
The different levels of environmental disclosure between high and low profile
industries are seen because although environmental disclosures by listed companies in
Thailand were still voluntary reporting, the companies with high potential for
environmental impacts such as agricultural and food, resource and property and
 JFRA

Table 2:

2015 to 2019
trend of ESG
disclosures during
The extent, level and
2015 2016 2017 2018 2019 Average
Disclosures Mean (SD) Mean (SD) Mean (SD) Mean (SD) Mean (SD) Mean (SD)

Environmental 253.190 (37.653) 273.857 (38.386) 317.381 (40.384) 361.833 (39.384) 380.000 (50.432) 317.252 (270.905)
Social 1,112.261 (99.291) 1,171.738 (100.255) 1,313.452 (114.636) 1,319.738 (116.003) 1,351.381 (112.465) 1,253.714 (704.476)
Governance 1,095.142 (80.400) 1,168.619 (98.560) 1,206.690 (88.244) 1,264.976 (77.658) 1,337.523 (86.196) 1,214.590 (561.439)
construction industries, need to provide environmental information disclosures under Environ
ISO14001 standard on environmental management system including environmental mental, social
responsibility if they would like to export their products. Moreover, the four items of
environmental disclosure in ESG (energy management, water management, waste
and
management and greenhouse gas management) are similar to environmental governance
management from ISO14001. Therefore, the companies in high profile industries
provided a higher level of environmental disclosure in their annual reports than the
firms in low profile industries.
Before conducting multiple regression analysis, the assumption that the data are not
multicollinear in the variables included in the analysis was first tested. Table 4 shows the
correlation matrix used to test for multicollinearity between the 10 variables used in this
study, consisting of one dependent variable, three independent variables and five control
variables. The correlation of a pair of variables should not exceed 0.700 and the variables
used in this study did not have a multicollinearity problem because the highest Pearson
correlation (between ED and SD) was 0.634. Moreover, the VIF scores of each variable used
in this study were also not over 10 (Yoon et al., 2018), as SIZE had the highest VIF score of
2.420 only. From the correlation coefficients between the nine variables used in this study,
there were significant correlations between MP, ED, SD, SIZE and AGE at p = 0.01 level,
while there was no significant correlation between MP, GD, ROA, RISK, and TYPE at
p = 0.05 level.

Variables n Mean SD t Sig.

Environmental High 120 357.350 292.723 2.508 0.010**

Low 90 263.788 229.592
Social High 120 1,265.408 672.446 0.277 0.785 Table 3:
Low 90 1,238.122 748.600
Governance High 120 1,249.766 588.514 1.049 0.287
Different level of
Low 90 1,167.688 522.716 ESG disclosures
between high and
Notes: **Is significant at 0.01 level; *is significant at 0.05 level low profile industries

Variable MP ED SD GD SIZE AGE ROA RISK TYPE

MP 1        
ED 0.494** 1       
SD 0.349** 0.634** 1      
GD 0.005 0.300** 0.452** 1     
SIZE 0.416** 0.329** 0.317** 0.351** 1    
AGE 0.415** 0.183** 0.029 0.023 0.390** 1   
ROA 0.076 0.063 0.121 0.269* 0.426** 0.116 1  
RISK 0.083 0.096 0.053 0.149* 0.584** 0.293** 0.364** 1 
TYPE 0.010 0.171* 0.019 0.073 0.272** 0.135* 0.035 0.521** 1
Mean 55.864 317.252 1253.714 1214.590 5.118 36.047 6.751 2.298 0.571
SD 83.575 270.905 704.476 561.439 0.595 23.798 5.585 2.338 0.496
Toler  0.487 0.507 0.678 0.413 0.660 0.741 0.414 0.565
Table 4.
VIF  2.054 1.971 1.474 2.420 1.515 1.350 2.415 1.771 Correlation matrix of
variables used in the
Note: **Is significant at 0.01 level; *is significant at 0.05 level study
JFRA To examine the impacts of ESG disclosures on market reactions to the listed companies in
the SET during 2015 to 2019, multiple regression was used as shown in Table 5. In the
regression model, the R squared was 0.475 and the adjusted R squared was 0.454 showing
that the model explained approximately 22.764% of the variance in the data. Although there
was no high R squared, the ESG disclosures including corporate characteristics can impact
the market by 45.40%, leaving for other variables impacting market reactions the remaining
54.60%. Although there was a positive impact of ED and SD on MP at the 0.01 and 0.05
levels, there was a negative impact of GD on MP at the 0.01 level. Using control variables,
the study found that SIZE, AGE and ROA had positive correlations with MP at the 0.01
level, while no relationship between RISK, TYPE and MP were found at 0.05 level.
The finding of a positive impact of environmental disclosure on the market reaction was
consistent with Jagannathan et al. (2017), Almeyda and Darmansyah (2019) and Yoon et al.
(2018). This is because investors were interested in risk to the environment, in an era of
social media and supported positive corporate conduct as regard the environment. The
positive impact of social disclosure on market reaction seen in this study is consistent with
Caroline (2012), Yoon et al. (2018), Lee (2016) and Khajavai et al. (2018). It is positive because
the investors support positive corporate conduct for social responsibility, reduce the risk of
stock price crash. Both positive impacts of environmental and social disclosures on market
reactions demonstrate that the disclosures can reduce information asymmetry between the
corporations and their investors, therefore the investors will positively react if the
corporations serve their demands by providing enough information in ESG disclosures to
them for decision-making.
However, the finding of the negative impact of governance disclosure on market
reactions measured by average stock market price in this study was not consistent with
the prior related studies (Yoon et al., 2018; Kosanlawit, 2019; Malik, 2012). This may be
because corporate governance disclosure has been mandatory reporting required by the
SET since 2001, therefore, the corporations cannot disclose only good news, but they need to
disclose all positive, negative and neutral information under the regulation of the SET. The
investors pay attention to the tone of corporate information disclosures that directly
influence their decision-making including changes in market reaction and share price. For
example, the good news of corporate information disclosures can improve its market
reaction, while the share price will be dropped when the company provides bad news.

Variable B t Sig.

Constant 275.119 5.155 0.000**

ED 0.088 3.915 0.000**
SD 0.019 2.271 0.024*
GD 0.030 3.288 0.001**
SIZE 53.637 4.811 0.000**
AGE 0.950 4.302 0.000**
ROA 3.159 3.557 0.000**
RISK 4.254 1.499 0.136
TYPE 8.320 0.726 0.468
R2 0.475
Adjusted R2 0.454
F-value (sig.) 22.764 (0.000**)
n 250
Table 5.
Multiple regression Note: **is significant at 0.01 level and *is significant at 0.05 level
However, this study did not collect the tone of ESG disclosures. For this reason, the Environ
investors may receive bad news in governance disclosures, possibly causing the selling of mental, social
shares and share price drop. Therefore, this study accepted H1 and H2, while H3 was
rejected.
and
In terms of control variables, the finding of a positive relationship between firm size and governance
market reaction can be explained by Widjaja (2009), Murniati (2016), Purnamawati (2016).
This is because investors will be more attracted to companies that have larger total assets
than the smaller firms because they have a better chance to be profitable, which is directly
linked to corporate dividend payment and changes in stock price. In addition, larger
companies can more easily obtain loans due to the value of corporate total assets pledged as
collateral and the level of trust by commercial banks is also higher (Widjija, 2009), therefore,
the corporate stock price will increase.
The finding of a positive relationship between firm age and market reaction is because
the corporations with longer age and experience will enjoy more trust and tend to signal to
their stakeholders, including investors, better than the other companies. Thus, the age of a
firm can positively impact market reactions measured by stock prices (Wiliandri, 2011).
The finding of a positive relationship between corporate profitability and market
reactions was consistent with (Murniati, 2016; Purnamawati, 2016). It is positive because
profitability is good news as a signal from the corporations to their investors and to the
other stakeholder groups. Therefore, increasing the profitability of the corporation can
improve and increase the corporate stock price (Purnamawati, 2016). In addition, the
investors, especially long-term investors, have concerns about the corporate ability to
generate profit because it directly affects dividend payment (Murniati, 2016).
However, the study did not find any relationship between firm risk, industry type and
market reactions. In terms of corporate risk measured by debt and equity ratio, for example,
this may be because even though a greater debt to equity ratio will indicate corporate capital
structure issues (Wiliandri, 2011), Thai investors did not pay as much attention to this as
they do to other factors such as profitability and firm size (Murniati, 2016). Moreover, in
Thailand, the interest rate of loans from commercial banks and other financial institutions
was quite low during the period of this study, so the cost of debt was relatively small.

5. Conclusions and suggestions for future study

The three main questions posed were:
(1) what are the extent, level and trends of ESG disclosures by listed companies in the
SET;
(2) is there a difference in levels of ESG disclosures between high and low profile
industries; and
(3) which ESG disclosures can impact market reactions to the listed companies in
Thailand.

The study found that there was an increased level of ESG disclosures during the five-year period of
study. The most common ESG disclosures were social disclosures, followed by governance and
environmental disclosures. There were different levels of environmental disclosures from the top50
listed companies between high and low profile industries, while no difference in social and
governance disclosures was observed between them. This is because even though environmental
disclosures by listed companies in Thailand were still voluntary reporting, the companies in high
profile industries still had to provide environmental information disclosures under ISO14001
standard on the environmental management system, including environmental responsibility, more
JFRA so than the low profile industries. In addition, all four items of environmental disclosure in ESG are
similar in terms of issues of environmental management to ISO14001. Finally, the study found that
environmental and social disclosures had positive impacts on market reactions, while there was a
negative impact of governance disclosures. This indicates that Thai investors reacted in their
investment decision-making to the topics of ESG disclosures. Using control variables, the study
found that firm size, firm age and corporate profitability were positively correlated with the market
reactions, while there was no relationship between firm risk or industry type with market reactions.
The study’s findings provide several contributions and implications. First, the results
can guide the companies to pay attention to environmental and social disclosures because
they can impact investors’ market reactions. Second, the study’s findings are able to explain
how and why the signaling theory can be used to test the impacts of ESG disclosures on
market reactions, whether the corporate actions and activities have to respond to all
stakeholder groups and the benefits of corporate responsibility include improved reputation
and loyalty as well as better performance and value. Next, this study contributes to the
literature on ESG disclosures in emerging economic countries as well as developed
countries. The study results also contribute to demonstrating the guideline of ESG
disclosures from the SET. The ESG disclosures benefit not only corporate investors who are
going to consider investments but also the other stakeholders such as employees, customers,
competitors, society and community and environmental lobbies. Therefore, the study results
may be able to change the ESG disclosures from voluntary reporting to mandatory
reporting by the SET. Finally, the study demonstrates an approach to researchers,
instructors and students who are interested in voluntary reporting in developing countries.
There are some limitations to this study. First, the study did not collect the tone of
ESG disclosures from companies listed in Thailand. It may link to the negative impact
of governance on market reactions because the samples had to provide governance
disclosures under the regulation of the SET, while the positive impact of both
environmental and social disclosures on market reaction may happen because the SET
still considers both these disclosures voluntary. Therefore, all cases may disclose only
good news. Finally, only the top50 listed companies were used in this study, while over
600 firms are listed on the SET. However, the top50 listed companies in Thailand
represent over half of the market capitalization in the SET. Therefore, to address the
limitations of this current study, future studies could collect data on the tone of
disclosures and for all listed companies on the SET.

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About the authors Environ
Assistant Professor Muttanachai Suttipun teaches in the field of financial accounting, as well as mental, social
corporate social and environmental responsibility reporting including corporate voluntary
disclosures. He has worked as a lecturer and researcher at the Accountancy Department, Faculty of and
Management Sciences, Prince of Songkla University (Hatyai Campus), Thailand since 2005. He governance
completed his PhD (Accounting and Finance) in the area of corporate social and environmental
disclosures using legitimacy and stakeholder theories from the University of Newcastle, Australia in
2012. He does his research studies every day. Muttanachai Suttipun is the corresponding author and
can be contacted at: [email protected]
Thanyaorn Yordudom is a master’s degree student of accounting program from the Faculty of
Management Sciences, Prince of Songkla University, Hat Yai City, Songkhla Province, Thailand. Her
master’s degree thesis is in the influence of ESG disclosures in annual reports of listed companies in
Thailand on market reaction.

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