Sustainability disclosure and stock returns : a study of firm 10-K sustainability disclosure and stuck returns in the period 1994-2017.
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- Master Thesis 
I utilize a keyword matching technique for comparing sustainability disclosure levels among publicly listed U.S. firms. By computerized parsing of the 10-K form, filed with the U.S. Securities Exchange Commission, I construct a sample of 88,464 firm-year sustainability disclosure observations. I find significant cross-sectional variation in sustainability disclosure in 10-K forms and document a steady increase in the form’s usage as a tool for sustainability reporting since the 1990s. Several firm characteristics correlate with disclosure levels of sustainability relating information. Primarily firm size, geographical dispersion, and industry show significant variation in firm 10-K sustainability disclosure concurring with previous empirical work. After controlling for several firm characteristics, I document a negative association between a firm’s sustainability disclosure and stock returns in microcaps. The relation between sustainability disclosure and stock returns is not statistically significant in the comparison of all firms. I document several firm characteristics that explain cross-sectional variation in stock returns. Furthermore, this paper provides insight on industry effects of sustainability disclosure levels, and investigate stock return effects by environmental, social, and governance-related disclosure.