Impact of the Level of Disclosure of Corporate Social Responsibility on the Share Price: Quantitative and Textual Analysis

Abstract

The aim of our study is to assess the impact of companies disclosing corporate social responsibility (CSR) issues on stock quotes. The research methodology includes panel regression, text analysis, and analysis of quantitative indicators of information disclosure on the social, environmental, and institutional spheres of the annual reporting of companies. In the framework of this study, a dictionary, which was designed as a library R, was compiled to evaluate CSR indicators based on international standards. The empirical base of the study included data from 16 Russian large listed companies from 2014 to 2018, whose capitalization is more than 60,2%.
The results of our study showed that CSR indicators affect the price of a company's shares, so, based on a quantitative analysis, we identified: 3 social indicators (loss of work injury rate and sponsorship costs (sports projects)), 6 institutional indicators (duration of work of members on the Board of Directors (less than 3 years and from 2 to 5 years), the composition of independent and non-executive directors, the total amount of remuneration of the board of directors and the head) and 2 environmental indicators (emissions of pollutants into the atmosphere and the total volume of wastewater discharges). Based on the text analysis, it was revealed that the share price is influenced by a more complete disclosure of social issues and the disclosure of information on the environment and the institutional sphere. Quantity number of words and average word length in the text of annual reports.
The author's dictionary developed within the framework of this study and the indicators identified, the disclosure of which affects the company's share price, have not only theoretical, but also, to a greater extent, practical significance for top managers of companies and employees involved in writing sustainability reports and annual reports and they can also be used in further research on the impact of non-financial information on the share price.