Corporate Environmental Information Disclosure and Risk Exposure of Stock Market in Thermal Electricity and Metal Industries

Abstract

The correlation between environmental information disclosure (EID) and risk exposure is of significant problem to introduce environment-protection strategy. The purpose of this article is to investigate that EID have a significant impact on stock price risk and idiosyncratic risk exposure. We investigate a significant causality and co-integration association between EID and stock price risk. EID exhibits an increasing trend, and different corporate exhibit greater periodic-divergence on the quality of disclosing environmental information from 2008 to 2013. Our empirical results suggest that excess market returns of stock price, corporate size and net returns of book-to-market value per share exhibit a significant impact on returns of stock price at the significance level of 5%. Corporate EID is negatively related with stock price risk and idiosyncratic risk exposure at the significance level of 10%, however corporate EID2 is positively related with stock price risk and idiosyncratic risk exposure at the significance level of 10%.