Arnold, Bassen, and Frank (2012)
Arnold, Markus, Alexander Bassen, and Ralf Frank. “Integrating Sustainability Reports into Financial Statements: An Experimental Study.” Working paper (University of Hamburg), June 11, 2012.
From the authors' abstract: "[E]vent studies have established that stock prices react to news about environmental, social, and governance (ESG) performance, [but] further empirical evidence raises the question of whether market participants always rationally process ESG information included in a standalone sustainability report. In an experiment with investment professionals, this study investigates whether a disconnect between financial statements and sustainability reports leads to an anchoring effect in the assessment of ESG information."
Finds that "financial statement users asymmetrically anchor on their financial value judgments when assessing ESG information provided in a standalone report."