The ESG Transparency Paradox and Capital Market Vulnerability in the Fake News Era under Conditions of Information Asymmetry
The ESG Transparency Paradox and Capital Market Vulnerability in the Fake News Era under Conditions of Information Asymmetry

Summary/Abstract: The purpose of this research is to analyse the relationship between disinformation (fake news), ESG (Environmental, Social, Governance) reporting, and capital market reactions, to assess the role of corporate transparency in the context of contemporary information asymmetry. This study develops an integrated empirical framework which combines econometric modelling of financial time series with natural language processing techniques (NLP), to quantify the informational pressure generated by fake news content.The analysis is based on a panel data set which includes 722 companies listed on the main US markets (NYSE and NASDAQ), over the 2020-2025-time horizon. The research method integrates stock returns, attention indicators and sentiment variables. The impact of informational shocks is assessed through the event study methodology, completed with panel regressions, and a robustness analysis based on machine learning methods, which highlights the predictive capacity of the variables analysed. The results highlight the existence of an asymmetric effect of ESG components on the market reaction under conditions of misinformation. The Environmental and Social dimensions amplify negative market reactions, while the Governance component reduces the persistence of shocks and accelerates the market value recovery process. In addition, the dynamics of investor attention and the deterioration of sentiment precede price adjustments, confirming the role of information asymmetry in transmitting and anticipating the effects of fake news on capital markets.This study introduces the concept of "Transparency Paradox" as the main contribution of this research. In addition, this study also integrates the information dimension, ESG reporting and market behavioural mechanisms into a unified empirical framework. The results offer direct implications for regulators and practitioners, indicating the need to integrate information risk into ESG standards and corporate governance strategies.

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