Grewal, Hauptman, and Serafeim (2017)

Grewal, Jody, Clarissa Hauptman, and George Serafeim.  “Stock Price Synchronicity and Material Sustainability Information.”  Working paper (Harvard Business School), May 2017.

From the authors' abstract:  "We examine if, and under what conditions, disclosure of sustainability information identified as investor relevant by market-driven innovations in accounting standard setting is associated with stock prices reflecting more firm-specific information and thereby lower synchronicity with market and industry returns. We find that firms voluntarily disclosing more sustainability information, identified as material by the Sustainability Accounting Standards Board (SASB), have lower stock price synchronicity. This result is stronger for firms with higher exposure to sustainability issues, institutional and socially responsible investment fund ownership, and coverage from analysts with less firm-specific experience and lower portfolio complexity."

Link:  http://www.hbs.edu/faculty/Pages/item.aspx?num=52664