ESG Disclosure, Earnings, and Dividend Payout: Industry Heterogeneity, Dynamic Persistence, and Financial Stability in an Emerging Market

This study examines the association between environmental, social, and governance (ESG) disclosure and corporate financial outcomes among 437 firms listed on the Stock Exchange of Thailand from 2014 to 2024, comprising 4807 firm-year observations across eight industries. The analysis examines the levels of dividend payout and earnings per share (EPS), temporal dependence in their underlying disturbance processes, and conditional-volatility dynamics. Industry-specific fixed-effects models, ARIMA specifications, and selective EGARCH models are employed, with supplementary system GMM analysis addressing potential endogeneity. The results reveal heterogeneous level associations. ESG disclosure is positively associated with dividend payout in three industries, negatively associated in one, and insignificant in four. For EPS, the association is significant in all eight industries but positive in three and negative in five. Dynamic analysis identifies positive temporal persistence and short-run adjustment in the aggregate industry-level disturbance processes. Significant residual conditional heteroskedasticity remains for selected industry-outcome combinations. EGARCH estimates for these cases reveal significant shock responses, asymmetric volatility dynamics, and differing degrees of volatility persistence across industries, with estimated shock half-lives generally below one year. ESG disclosure is included in the conditional mean rather than the conditional-variance equation of these models and is therefore not interpreted as a direct determinant of volatility. Overall, the findings highlight substantial industry heterogeneity in ESG–financial associations and demonstrate the value of distinguishing financial-outcome levels from their temporal and volatility dynamics in an emerging capital market.