Impact of non-financial information on key financial indicators of Russian companies

E. Fedorova, D. Afanasev, R. Nersesyan and S. Ledyaeva
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E. Fedorova: Financial University under the Government of the Russian Federation, Moscow, Russia
D. Afanasev: JSC "Greenatom", Moscow, Russia
R. Nersesyan: National Research University Higher School of Economics, Moscow, Russia
S. Ledyaeva: Department of Economics, Aalto University School of Business, Helsinki, Finland

Journal of the New Economic Association, 2020, vol. 46, issue 2, 73-96

Abstract: This study examines the relation between non-financial information and companies' financial results, especially stock returns and weighted average cost of capital (WACC) in the Russian Federation. It selected a sample as a source of nonfinancial information containing Annual reports, Sustainable development reports, ESG reports (environmental, social, governance) and Global Reporting Initiative (GRI) reports of public firms listed in the Russian stock market (MOEX) from 2010 to 2018. To evaluate the role of information disclosure there were applied Bloomberg ESG disclosure indexes. The methodology of text analysis was based on latent semantic analysis (LSA) technique. Latent semantic analysis is a method of textual associative patterns recognition and themes of text formalization with rich mathematical background. Besides, we applied classical text mining procedure - bag of words with corporate social performance dictionary. The results demonstrate both significant influence of some themes or information disclosure importance for stakeholders and independent market agents. Firstly, this study serves top-management purposes and expands understanding of non-financial information influence. Second, the results may be used by external agents to detect the core idea vanishing in text massive.

Keywords: latent semantic analysis; nonfinancial information; ESG; Global Reporting Initiative; corporate social responsibility; text mining (search for similar items in EconPapers)
JEL-codes: C33 D21 Q30 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2020:i:46:p:73-96

DOI: 10.31737/2221-2264-2020-46-2-4

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