AI 中文总结
该研究以标普1500成分股为对象，探究SEC文件、可持续发展报告等不同社会披露渠道的社会披露与企业特质风险的关系，发现SEC文件首次披露社会议题会提升特质风险，而可持续发展报告和财务报告的持续披露则会降低特质风险。
AI 中文摘要
投资者从风险视角解读社会披露信息，但相关信息可通过监管力度和重要性差异显著的渠道传递给他们：美国证券交易委员会（SEC）文件、可持续发展报告或财务报告。我们分析通过各渠道进行的社会披露如何与特质风险相关，研究标普1500成分股，区分三种披露渠道下的首次披露与持续披露。我们发现，通过SEC文件首次披露社会议题与企业特质风险上升相关，这凸显了意外信息的发布；而可持续发展报告和财务报告的社会议题持续披露则与较低的特质风险相关，符合现有文献结论。SEC文件的效应对下行特质风险衡量指标、将社会披露细分为人力资本、产品责任和利益相关者参与的情况，以及倾向得分匹配方法均具有稳健性。我们的研究结果表明，可持续发展披露的风险影响取决于信息的新颖性和披露渠道。
英文摘要
Investors interpret social disclosures from a risk perspective, yet relevant information can reach them through channels that differ sharply in regulatory enforcement and materiality: SEC filings, sustainability reports, or financial reports. We analyse how social disclosure via each channel relates to idiosyncratic risk. Studying S&P 1,500 constituents, we distinguish between initiated and continued disclosure along the three disclosure channels. We find first-time disclosure of social issues via SEC filings is related to increased idiosyncratic firm risk, highlighting that unexpected information is published. Continuous disclosure of social issues is related to lower idiosyncratic risk for sustainability and financial reports, which is in line with the literature. The SEC filing effect is robust for downside idiosyncratic risk measures, the separation of social disclosure into human capital, product liabilities, and stakeholder engagement, and for propensity score matching. Our findings suggest that the risk impacts of sustainability disclosure depend on the newness of information and disclosure channels.
