Bigger Fish to Fry: The Interdependence of Earnings and ESG News in Investor Screening

We examine how investors respond to concurrent financial and ESG performance news and the implications of their response for investor screening. Our analyses reveal that investors respond more strongly to ESG performance news during earnings announcement (EA) periods than non[1]EA periods. We also show that negative ESG performance news is typically more salient to investors, and that investors conduct negative screening based on this dimension. In contrast, investors do not screen on ESG performance news when earnings information is negative. Collectively, our results highlight the interdependence between investor use of information from different sources, and thereby contribute to a more complete understanding of the joint importance of financial and ESG performance information in evaluating investment alternatives.