Investors’ reactions on the publication of integrated reports. Evidence from European stock markets

Bianca Raluca Baditoiu, Roxana Ioan (), Valentin Partenie Munteanu and Alexandru Buglea
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Bianca Raluca Baditoiu: West University of Timisoara
Roxana Ioan: West University of Timisoara
Valentin Partenie Munteanu: West University of Timisoara
Alexandru Buglea: West University of Timisoara

E&M Economics and Management, 2023, vol. 26, issue 2, 158-171

Abstract: The last decades brought to stock market investors’ attention several key issues regarding companies’ activity, besides the financial statements. These issues, such as environmental, social, or corporate governance policies are nowadays included in integrated reports issued by many listed companies worldwide. Although these topics seem to currently attract a high interest in the media, our study’s aim is to determine whether the listed firms’ release of Integrated Reports has any bearing on the issuers’ performance on the capital market as assessed by market value, return, and risk. In this respect, we analysed three different stock market time series’ reactions – daily close prices, daily logarithmic returns, and risk measured by the Expected Shortfall – to the publication of integrated reports, for a sample of 48 companies, listed on various European stock markets. In order to identify any sudden changes in the analysed time series behaviour, immediately after the publication date, we used the Bai-Perron multiple structural breaks test. Our results show that no consistent, significant reactions occur within the analysed time series immediately after the publication of integrated reports, but only isolated, circumstantial reactions seem to appear. Moreover, it seems that the markets show common significant reactions to certain events, marked by major structural breaks, but none of these events could be related to the publication of integrated reports. Within this context, our paper manages to prove that although it currently constitutes a hot topic worldwide, integrated reporting is not a key feature in the investors’ short-term decision-making process.

Keywords: Integrated reporting; stock market; structural breaks; expected shortfall; investor reactions (search for similar items in EconPapers)
JEL-codes: G11 G39 O16 (search for similar items in EconPapers)
Date: 2023
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https://doi.org/10.15240/tul/001/2023-2-010

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Persistent link: https://EconPapers.repec.org/RePEc:bbl:journl:v:26:y:2023:i:2:p:158-171

DOI: 10.15240/tul/001/2023-2-010

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