44 Pages Posted: 10 May 2017 Last revised: 9 Aug 2017
Date Written: June 7, 2017
We examine if, and under what conditions, disclosure of sustainability information identified as investor relevant by market-driven innovations in accounting standard-setting, is associated with stock prices reflecting more firm-specific information and thereby lower synchronicity with market and industry returns. We find that firms voluntarily disclosing more sustainability information, identified as material by the Sustainability Accounting Standards Board (SASB), have lower stock price synchronicity. Our result is robust to including controls for analysts, insider trading, institutional ownership, earnings quality, other voluntary disclosure activity and specifications that examine changes in disclosure practices. This result is stronger for firms with higher exposure to sustainability issues, institutional and socially responsible investment fund ownership and coverage from analysts with lower portfolio complexity. Moreover, we find intra-industry information transfers to firms with low sustainability disclosure within industries with high sustainability disclosure.
Keywords: voluntary disclosure, accounting standards, sustainability, nonfinancial information, corporate social responsibility, stock price synchronicity
JEL Classification: G12, G14, G2, M1, M2, M4
Suggested Citation: Suggested Citation
Grewal, Jyothika and Hauptmann, Clarissa and Serafeim, George, Stock Price Synchronicity and Material Sustainability Information (June 7, 2017). Harvard Business School Working Paper. Available at SSRN: https://ssrn.com/abstract=2966144 or http://dx.doi.org/10.2139/ssrn.2966144