Carbon Disclosure and Firm Idiosyncratic Risk: International Evidence
研究了全球500强公司自愿碳披露与特质风险的关系，发现披露碳信息的公司特质风险更低，且在发达国家、治理强的国家及信息不对称高的公司中更显著。
Synopsis The research problem This study examines the relationship between voluntary carbon disclosure and idiosyncratic risk in an international setting, considering the effect of various country and sector contexts. Motivation or theoretical reasoning Despite competing views on whether increased climate-related disclosures alleviate or exacerbate market uncertainty, there has been limited research directly investigating the impact of carbon disclosure on firm risk. Previous studies have primarily focused on the impact of general corporate social responsibility in individual country settings. We took a comprehensive global approach to examine the relationship between carbon disclosure and idiosyncratic risk. Drawing on the neglect effect, resource-based view, and stakeholder theory, we argue that voluntary carbon-related information disclosure leads to a reduction in idiosyncratic risk. The test hypotheses We tested five hypotheses regarding carbon disclosure and idiosyncratic risk: Carbon disclosure is negatively associated with firm idiosyncratic risk ([Formula: see text]), and this negative association is more pronounced in developed countries ([Formula: see text]), countries with stronger governance ([Formula: see text]), and countries with a more transparent information environment than other countries ([Formula: see text]). Lastly, we hypothesize that this negative association is more pronounced in emissions-intensive sectors than in other sectors ([Formula: see text]). Target population Our sample population consists of Global 500 companies from 2007 to 2019. Adopted methodology We use ordinary least squares regressions, propensity score matching, and the two-stage least squares (2SLS) approach. Analyses Our dependent variable, idiosyncratic risk, is measured as the standard deviation of residuals from the capital asset pricing model (CAPM). Our independent variable of interest is a dummy that equals 1 if the firm voluntarily discloses its carbon information via the CDP and 0 otherwise. Findings Our empirical results suggest that idiosyncratic risk is significantly lower for disclosing firms than for nondisclosing firms. This result is robust to the adoption of alternative measures of firm risk, different model specifications, and controls for endogeneity. We also explored the contextual variables that could affect the negative relationship between carbon disclosure and idiosyncratic risk. This relationship is stronger for firms in developed countries and in countries with stronger governance, and for firms with higher information asymmetry.