ESG開示がバリュエーションとリスクに与える影響：タイのプロパティファンドとREITsからの証拠

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

🔬研究者:開示理論の予測と新興国実証の乖離を示す貴重な反証データで、開示の経済効果研究に有用。

🏢実務担当者:形式的なESG開示だけでは投資家評価につながらないことを示し、開示の質と財務ファンダメンタルズの両立を促す。

🏛政策担当者:任意開示の限界を示し、義務化・基準統一の政策設計を検討する根拠となる。

This study examines whether Environmental, Social, and Governance (ESG) disclosure adoption by property funds and Real Estate Investment Trusts (REITs) listed on the Stock Exchange of Thailand is associated with fund valuation, stock price volatility, and investors’ required return, and how this relationship evolves over time following adoption.Using a fixed-effects panel regression model with fund and year fixed effects and clustered standard errors, based on an unbalanced panel of 341 fund-year observations covering 51 Thai property funds and REITs from 2016 to 2025, the study tests four hypotheses grounded in disclosure theory, ESG literature, and asset pricing frameworks. Fund valuation is measured using the price-to-net asset value (P/NAV) ratio, stock price risk is measured using annualized return volatility, and dividend yield is used as a proxy for investors’ required return.Contrary to the predictions of disclosure theory, the findings show that ESG disclosure adoption is associated with a statistically significant decline in fund valuation (coefficient = -0.104, significant at the 1% level), a result that remains robust after controlling for macroeconomic conditions. The study finds no evidence that ESG disclosure adoption reduces stock price volatility, as the coefficient on the lagged ESG disclosure indicator is statistically insignificant across specifications. The evidence on dividend yield is mixed: ESG disclosure adoption shows no significant effect under the baseline specification, while the dynamic analysis reveals that dividend yield increases significantly with the number of years since adoption, contrary to the expectation of a declining risk premium over time.Taken together, these findings suggest that ESG disclosure adoption alone does not yet function as an effective valuation-enhancing or risk-reducing mechanism among Thai property funds and REITs during the sample period. Investor decisions continue to be driven more strongly by traditional financial fundamentals, such as leverage, income expectations, and macroeconomic conditions, than by ESG disclosure status. The results contribute to the ESG and real estate finance literature by offering evidence from an emerging market setting where ESG disclosure remains voluntary, and carry practical implications for fund managers, investors, and regulators seeking to strengthen the effectiveness of sustainability reporting in the Thai REIT market.

• openaire https://doi.org/10.58837/chula.is.2025.305first seen 2026-11-05 04:44:58