This study investigates the relationship between Environmental, Social, and Governance (ESG) materiality issues and stock returns in the Stock Exchange of Thailand (SET). Leveraging data from 91 listed companies between 2018 and 2021, the research examines whether firms focusing on material ESG issues demonstrate superior performance. Using an innovative SASB, MSCI and MSCI-SASB materiality framework, the study differentiates between material and immaterial ESG issues. By constructing portfolios based on ESG materiality scores and evaluating their performance through a comprehensive five-factor model, the research provides nuanced insights into ESG investing in an emerging market context. The study addresses a critical gap in the existing literature by exploring ESG materiality's impact in the Thai market, where unique market characteristics may influence the relationship between sustainability factors and financial performance. Additionally, the research analyses potential differences in stock returns between firms listed on the Refinitiv ESG rating and those not included in the rating. This research contributes to the understanding of ESG materiality in emerging markets and offers valuable implications for investors seeking to integrate ESG considerations into their investment strategies. The findings provide a sophisticated approach to evaluating the financial significance of sustainability factors across different industry contexts.
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