Purpose: The purpose of this paper is to explore the impact of recent developments in corporate reporting, specifically from the carbon disclosure project (CDP) environment, in the evolution of European post-crisis financial markets. Design/methodology/approach: Theoretical and instrumental advancements from nonlinear dynamics have been applied to the analysis of market behaviour and the online presence or reputation of major European listed banks. Findings: The application of a nonlinear statistical methodology (i.e. the autoregressive fractionally integrated moving average [ARFIMA] estimation model) demonstrates the presence of a long history of collected data, thus indicating a certain degree of predictability in the time series. Also, this study confirms the existence of structural breakpoints, specifically the impact of the CDP reporting in both stock prices and online search trends of the sampled companies for certain periods. Research limitations/implications: This study introduces new methodological perspectives in corporate reporting studies, as the application of nonlinear techniques can be more effective in capturing corporate transparency issues. A limitation to overcome is to explore whether the impact of reporting is different due to the specific reporting behaviour each company adopts. Practical implications: The “breakpoint” concept should enlighten the importance to firms of providing more information in specific moments, which can impact on both traditional (i.e. stock prices) and modern (i.e. online popularity) performance metrics. Additionally, it should be taken into account by stakeholders, when analysing the accountability of firms to improve their decision-making processes and policymakers, for monitoring and contrasting speculative and insider trading activities. Social implications: Online search trends represent a new public attitude to how society “measures” the effectiveness of firms’ disclosure behaviours. Originality/value: Combining ARFIMA with structural break techniques can be regarded as a relevant and complementary addition to classic “market reaction” or “value relevance” techniques.

Corporate impact of carbon disclosures: a nonlinear empirical approach

Diego Valentinetti
2021

Abstract

Purpose: The purpose of this paper is to explore the impact of recent developments in corporate reporting, specifically from the carbon disclosure project (CDP) environment, in the evolution of European post-crisis financial markets. Design/methodology/approach: Theoretical and instrumental advancements from nonlinear dynamics have been applied to the analysis of market behaviour and the online presence or reputation of major European listed banks. Findings: The application of a nonlinear statistical methodology (i.e. the autoregressive fractionally integrated moving average [ARFIMA] estimation model) demonstrates the presence of a long history of collected data, thus indicating a certain degree of predictability in the time series. Also, this study confirms the existence of structural breakpoints, specifically the impact of the CDP reporting in both stock prices and online search trends of the sampled companies for certain periods. Research limitations/implications: This study introduces new methodological perspectives in corporate reporting studies, as the application of nonlinear techniques can be more effective in capturing corporate transparency issues. A limitation to overcome is to explore whether the impact of reporting is different due to the specific reporting behaviour each company adopts. Practical implications: The “breakpoint” concept should enlighten the importance to firms of providing more information in specific moments, which can impact on both traditional (i.e. stock prices) and modern (i.e. online popularity) performance metrics. Additionally, it should be taken into account by stakeholders, when analysing the accountability of firms to improve their decision-making processes and policymakers, for monitoring and contrasting speculative and insider trading activities. Social implications: Online search trends represent a new public attitude to how society “measures” the effectiveness of firms’ disclosure behaviours. Originality/value: Combining ARFIMA with structural break techniques can be regarded as a relevant and complementary addition to classic “market reaction” or “value relevance” techniques.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11564/723473
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