ESG Disclosures and Stock Price Crash Risk

In this study, we investigate the relationship between environmental, social, and governance (ESG) disclosures stock price crash risk. A is a dreadful event for market participants. Thus, exploring determinants helpful investment decisions risk management. use samples of major index components in Europe, United States, Japan to perform regression analyses, after controlling other potential determinants. We estimate static two-way fixed-effect models dynamic GMM models. find that coefficients firm-level ESG are not statistically significant model. disclosure model U.S. sample. On hand, scores negative European Japanese marker Our findings suggest lower future risk; however, effect predictive power differ among regions.