Sentiment Analysis of ESG Disclosures on Annual Report in Thailand

The concept of ESG has been gaining popularity in recent years in Thailand. ESG disclosures can be studied through the annual report or Form 56-1 One Report. However, the content of the annual report contains a number of statements, which take a long time to analyze manually. To address these problems, this research therefore uses the Transformers model to process and deal with the large amount of text data within annual reports. The purpose of this paper is to provide investors with knowledge on how to perform textual analysis of ESG disclosures, which is an analysis method that goes beyond analyzing financial numbers through the development of language models specifically focused on ESG within annual reports. Then evaluate the performance of models that specifically focus on ESG aspects compared to models that focus more generally. Models focused specifically on ESG were found to have higher prediction accuracy. The next step was to use this ESG-specific model to do a sentiment analysis of annual report between 2020 and 2022 for 27 companies in the resource group. The study found that most companies gave the most weight to disclosing social aspects, and the sentiment of ESG disclosures was revealed in the neutral polarity.