Mandate-Backed ESG Reporting and Limited Price Discovery: Evidence from Sustainability Report Releases on the Abu Dhabi Securities Exchange

Abstract This study examines whether ESG report releases generate market reactions on the Abu Dhabi Securities Exchange (ADX). Using an event-study design, the analysis begins with an ESG report universe covering approximately 101 ADX-listed firms, representing nearly the full actively traded ADX equity universe. After cleaning report dates and requiring valid daily trading data, the final sample consists of 67 aligned ESG report-release events and 1,388 firm-event-trading-day observations between 2021 and 2025. The study tests whether report publication is associated with abnormal stock returns, abnormal trading activity, and investor-type order imbalance across standard event windows. The results show limited price discovery. ESG report releases do not generate statistically significant abnormal returns across the main event windows, and abnormal trading activity is also insignificant. Investor-type trading provides a more nuanced result: over wider windows, Individual accounts become net buyers while Company accounts become net sellers, suggesting gradual rebalancing rather than immediate event-day repricing. A content-credibility heterogeneity test further shows that reports with more quantified, assured, standards-linked, and less boilerplate disclosures are associated with stronger wider-window investor-type trading responses, although not with significant abnormal-return heterogeneity. The findings contribute to ESG disclosure research by distinguishing disclosure publication from disclosure usefulness. In the ADX setting, ESG report publication alone does not appear sufficient to move prices. Instead, investor responses appear more closely linked to the credibility and specificity of the information inside the report. Keywords: ESG disclosure; sustainability reporting; event study; abnormal returns; investor order imbalance; disclosure credibility; ADX; UAE; emerging markets; signaling theory. https://github.com/vdrakopoulou/ADX-ESG-Reporting-Event-Study-Replication-Package/tree/main