Dissecting ESG Ratings and The Role of Score Bands in Explaining Cross-Sectional Variation in Thai Stock Returns

Authors

  • Kulabutr Komenkul Department of Finance, Investment and Financial Technology, College of Innovative Business and Accountancy, Dhurakij Pundit University
  • Teerawat Sirisuwan Department of Finance, Investment and Financial Technology, College of Innovative Business and Accountancy, Dhurakij Pundit University
  • Pimrapat Komolwechaku Department of Finance, Investment and Financial Technology, College of Innovative Business and Accountancy, Dhurakij Pundit University
  • Chanisa Seekaw Department of Finance, Investment and Financial Technology, College of Innovative Business and Accountancy, Dhurakij Pundit University
  • Inthira Chairad Department of Finance, Investment and Financial Technology, College of Innovative Business and Accountancy, Dhurakij Pundit University

Keywords:

ESG, stock return, ESG rating, regression model, emerging markets

Abstract

This study investigates the relationship between Environmental, Social, and Governance (ESG) scores and stock returns among listed firms on the Stock Exchange of Thailand in 2024. Using 858 firm-level observations, we apply a multiple linear regression framework controlling for firm size (LNSIZE), return on assets (ROA), return on equity (ROE), earnings per share (EPS), and industry dummies. ESG scores are obtained from six providers, including SET ESG, Morningstar, ESG Book, MSCI, Refinitiv, and S&P Global. The empirical results reveal that certain ESG score bands—particularly from Morningstar and Refinitiv—have a statistically significant negative association with stock returns. This finding supports theories of investor inattention and mispricing, particularly for firms with lower ESG visibility. The study highlights that ESG band classifications may capture investor behavior more effectively than continuous scores. These findings offer valuable implications for sustainable investment strategy development, particularly in emerging markets where ESG integration remains nascent.

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Published

2025-09-22

How to Cite

Komenkul, K. ., Sirisuwan, T. ., Komolwechaku, P. ., Seekaw, C. ., & Chairad, I. . (2025). Dissecting ESG Ratings and The Role of Score Bands in Explaining Cross-Sectional Variation in Thai Stock Returns. Journal of Humanities and Social Sciences Thonburi University, 19(3), 17–33. retrieved from https://so03.tci-thaijo.org/index.php/trujournal/article/view/289063

Issue

Vol. 19 No. 3 (2025): September-December

Section

บทความวิจัย

License

Copyright (c) 2025 Kulabutr Komenkul, Teerawat Sirisuwan, Pimrapat Komolwechakul, Inthira Chairad, Chanisa Seekaw

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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