Evaluating the effect of optional disclosure of sustainability information on price risk; Evidence from Iran's capital market

Objective: Operating in a dynamic competitive environment poses a threat to the company's stock price, that with the market's concern about the company's future, the company's value is estimated to be lower than its real value and increases the risk of the stock price falling. The purpose of this research was to evaluate the effect of voluntary disclosure of sustainability information on price risk and evidence from the Iranian capital market.Method: In order to achieve the objectives of the research, the necessary information has been collected from ۱۳۰ companies admitted to the Tehran Stock Exchange. Also, the time period of the research was chosen from ۲۰۱۳ to the end of ۲۰۱۴ and the first-order generalized least squares regression method was used to test the research models. The current research is practical in terms of its purpose and the type of data used is mixed and retrospective.Results: The findings of the research showed that voluntary disclosure of sustainability information had a negative and significant impact on the risk of negative skewness of stock returns of the investigated companies. In addition, the results have shown a negative and significant impact of voluntary disclosure of sustainability information on the low to high fluctuation of stock prices of companies listed on the Tehran Stock Exchange.

Keywords:

voluntary disclosure of sustainability information , stock price risk