Dynamic Interplay and Financial Materiality of Technology-Centric ESG in the Health Sector: A Granular Econometric Investigation

This study investigates the financial materiality of disaggregated, technology-centric Environmental, Social, and Governance (ESG) characteristics and their dynamic interplay within the health sector. Using Two-Way Fixed Effects panel regressions on 726 firm-month observations (ABBV, BMY, JNJ, LLY, MRK, PFE), we assess the impact of analogous ESG scores like Tech Sustainability Integration (TSIS) and Socio-Ethical Tech Alignment (SETAS) on excess returns. A Vector Autoregression (VAR) model examines the dynamics between a constructed Health sector-specific ESG factor (STIF) and sectoral innovation. Key findings show that TSIS and SETAS positively and significantly impact excess returns. VAR analysis reveals STIF Granger-causes sectoral innovation dynamism, though not vice-versa with general market factors. This research offers granular insights into ESG materiality, highlighting technology-centric ESG's role in firm value and sectoral innovation, providing actionable implications and advancing theory with a dynamic, sector-specific approach.