Is greater connectivity of financial and non-financial information in annual reports valued by market participants?
利用普华永道英国数据，发现战略报告披露质量越高，流动性越高、资本成本越低、分析师预测越准确，且这些效应在战略报告框架下更显著，表明市场重视财务与非财务信息的关联。
The establishment of the International Sustainability Standards Board (ISSB), and the endorsement by the International Financial Reporting Standards (IFRS) foundation of the principles underlying the Integrated Reporting (IR) Framework, attest to a regulatory intent to develop a disclosure framework better connecting sustainability-related financial disclosures with financial disclosures. Strategic Reporting (SR), effective in the United Kingdom (U.K.) since 2013, is a prime example of such a framework. Utilizing proprietary data from PwC U.K., we find higher SR disclosure quality is associated with higher liquidity, lower cost of capital, and more accurate, less dispersed analysts’ forecasts. We then hypothesize and compare these impacts with the capital market effects of disclosure quality under the reporting framework preceding SR. We find that the effects of higher liquidity and lower cost of capital are more pronounced under SR, suggesting that SR, as a mandated, more connected reporting framework, enables more effective capital market communication. We also find that the incremental capital market benefits are more significant for entities with higher exposure to the change, better sustainability performance and higher organizational complexity. For regulators and standard setters, these findings indicate that their emphasis on greater connectivity of financial and non-financial information is valued by market participants.