The Market Response To Social Report Publication

The aim of this paper is to investigate whether social report publication affects stock price. To this end, we tested three research hypotheses. The first involved whether social report publication directly influences stock price. The second concerned the indirect influence of social report on stock price due to its capacity to modify the relevance of the other accounting variables. The third refers to the different significance that social report can have in specific national contexts. Our sample consisted of all European listed banks during the period 2002-2008. Our findings show that the market assigns a negative value-relevant to social report. We can state that investors appreciate the additional disclosure offered by social report publication, but this disclosure produce a negative effect on stock price. Cross-country analysis shows that national realities are very different. In some countries the social report is value-relevant and negatively affects the stock price; in others the social report remains value-relevant but positively affects the stock price, in others the social report is not a value-relevant. This study proposes to offer a key to understanding the possible relationship between the social report and the value that the market attributes to companies that publicise their commitment to corporate social responsibility and seeks to enrich the literature on value relevance addressing the value of social report.