The role of non-financial disclosure in financial markets. The impact of sustainability reporting

Purpose: Sustainability reports are voluntarily released by companies that usually publish them on corporate websites or in other specialised digital sources to make them available to stakeholders and, specifically, investors. Since the latter are increasingly asking for credible non-financial data to make informed decision, this study investigates the effect sustainability reports publication has had, in the last years, on securities of European companies ,. Design/methodology/approach This paper examines market reactions (in terms of abnormal returns) to the sustainability report publication on the company web site. It focuses on companies listed on the Down Jones Sustainability index as company inclusion in stock indexes based on sustainability screening represents an important signal that reduces the uncertainty on the quality of sustainability information. Findings Authors expected to exhibit that financial markets present a reaction toward the publication of sustainability reports and the reaction remains constant over the years. Empirical findings indicate that investors do not change their investments decisions in most cases, instead. Research limitations/implications This study has two main limitations: it is based on a small number of firms and it does not account for the presence of other events occurring the same day of the announcement that may have potential effect to yield excess returns. Practical implications This research shows how sustainability disclosure influences the market value of companies included in Dow Jones Sustainability World. Originality/value Longitudinal analysis is highly original in providing a framework for studying of the impact of sustainability disclosure in companies that have a social and environmental impact.