ESG DISCLOSURE, RISK, AND CORPORATE VALUE: EVIDENCE FROM LISTED COMPANIES ON THE VIETNAM STOCK EXCHANGE

This study analyzes the impact of ESG disclosure on stock yields, investment risks, and the corporate value of listed companies in Vietnam in the context of growing global sustainable investment trends. On the basis of foundational theories, including Modern Portfolio Theory (Markowitz, 1952), Stakeholder Theory (Freeman, 2010), Agency Theory (Jensen & Meckling, 2019), and Signaling Theory (Spence, 1978), the research creates a model to evaluate the relationship between ESG and securities investment efficiency through transmission mechanisms, such as risk reduction, capital cost reduction, and improvement of corporate reputation. The research data was collected from 110 companies listed on HOSE, HNX, and UpCom in the period 2019–2023, with a total of 550 table data observations. Regression methods, including OLS, FEM, and REM, are used to test research hypotheses. Dependent variables include ROA, ROE, Tobin's Q, and stock yield volatility, while ESG is measured through a composite ESG score and three pillars: E, S, and G. The research results show that ESG disclosure has a positive and statistically significant impact on financial performance and corporate value. Businesses with high ESG scores tend to achieve higher ROA, ROE, and Tobin's Q, and have a lower level of investment risk. Among the three ESG pillars, the governance factor has the strongest influence on the efficiency of securities investment. In addition, the impact of ESG is more pronounced in the banking – finance and consumer goods industries. The study contributes to supplementing empirical evidence on the role of ESG in Vietnam's emerging markets, and provides important implications for businesses, investors, and regulators in promoting ESG disclosure, sustainable investment development, and improving the quality of Vietnam's stock market.