Griffin and Sun (2012)

Griffin, Paul A. and Yuan Sun. “Going Green: Market Reaction to CSR Newswire Releases.”  Working paper (University of California, Davis), June 15, 2012.

From the authors' abstract:  "Using voluntary disclosures made through the CSR newswire service, we find that managers’ disclosure decisions involving greenhouse gas emissions produce positive returns to shareholders. This response varies negatively with company size and public information availability. For small companies in a limited public information environment, we find that mean market-adjusted share price increases significantly by 2.32 percent over days -2 to 2 around the CSR newswire release date. Our sample of disclosing companies received an aggregate market value boost from their CSR news releases of approximately ten billion dollars, independent of differences in public information availability."

LK comment:  see also Krüger (2015).

Link:  http://gsm.ucdavis.edu/sites/main/files/file-attachments/ssrn-id1995132.pdf