SOCIAL DISCLOSURE AND ABNORMAL RETURNS: AN EVENT STUDY WITH BRAZILIAN PUBLIC COMPANIES FROM 2005 TO 2012
DOI:
https://doi.org/10.11606/rco.v9i24.81136Keywords:
Social Disclosure. Event Study. Corporate Reputation. Market Efficiency. Abnormal Return.Abstract
The present study investigates if the event of social information disclosure improves stock returns of Brazilian public companies. Forty nine Brazilian companies listed on the BM&FBovespa which reported their social responsibility reports in the 2005-2012 period were analyzed, resulting in 254 pooled observations. Levels of social disclosure were measured by an index (ISD), based on Ramanathan (1976), Haydel (1989) and Hammond and Miles (2004), that evaluates the companies’ disclosed data by means of 13 indicators,. The results have shown that companies with higher ISDs usually present greater returns, especially immediately after the disclosure. These results were confirmed at a 5% significance level, indicating that firms with higher social disclosure levels tend to present positive and statistically significant accumulated abnormal returns.
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