Connors and Johnston (2013)

Connors, Elizabeth and Holly H. Johnston.  “Voluntary Environmental Disclosures in 10-Ks and Environmental Reports: Determinants and Relationship to Firm Risk Premium.”  Working paper (Michigan State University), October 27, 2013.

From the authors' abstract:  "We investigate the effect of corporate environmental performance, measured as Toxics Release Inventory and CO2 equivalent emissions on the levels of environmental disclosure in both Forms 10-K and standalone Sustainability or Environmental Reports (CERs). We then evaluate the association between environmental disclosure levels and estimated firm risk premium. Our sample consists of firms in the chemical and electric utilities industry, publicly traded in U.S. markets, and covers the years 2005 – 2009. Our results suggest that companies with higher emissions have higher levels of environmental disclosure in Forms 10-K and lower levels of disclosure in CERs...  The association between firm risk premium and disclosure levels in both types of reports is significantly positive for our sample of chemical companies and insignificant for our sample of firms in the electric utilities industry."

Link:  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2345964