Do ESG factors matter? An analysis of abnormal stock returns in ASEAN-5 countries

Purpose This study examines the relationship between Environmental, Social, and Governance (ESG) scores and abnormal stock returns in the ASEAN-5 countries (Indonesia, Malaysia, Singapore, Thailand, and the Philippines). Design/methodology/approach The study utilizes the financial data of listed companies in year of 2023. Cross-sectional regression analysis is used to investigate the study. Findings The results indicate that ESG scores do not significantly impact stock performance across all five markets. Possible explanations include low ESG awareness among investors, a preference for short-term financial gains, evolving regulatory frameworks, and sectoral dominance of industries with high ESG compliance costs. The findings suggest that ASEAN-5 investors prioritize traditional financial indicators over ESG factors in their investment decisions. Originality/value This study contributes to the ESG–performance literature by focusing on the underexplored ASEAN-5 emerging markets—Indonesia, Malaysia, Singapore, Thailand, and the Philippines—where ESG awareness and regulatory frameworks remain nascent. Unlike prior research in developed economies that often reports a positive ESG–return relationship, our findings reveal no significant association between ESG scores and abnormal returns across all markets, underscoring the influence of local market structures, sectoral composition, and investor behavior.