In this study, we examine the effects of voluntary disclosure on the market value of Italian-listed companies adopting GRI guidelines, interpreting our results in the light of both stakeholder theory and legitimacy theory. From a methodological viewpoint, an index is used to measure the level of disclosure of human resources and environmental information. We consider a sample of firms listed on the Milan Stock Exchange for an eleven-year period (2004-2014). The period chosen gave us the opportunity to assess the value-relevance of environmental and social information before and during the Global Financial Crisis. We supplement the previous literature on the topic of the relationship between social and environmental disclosure and value-relevance by arguing that sustainability tools have to be evaluated, remembering that they express a notion of value in the long term and provide information to a large number of stakeholders. Our findings show that environmental information is only value-relevant during the crisis period, when the shareholder perspective comes more into line with other stakeholder perspectives because they are seeking a middle-to-long run notion of value. Finally, we find that a high level of GRI information disclosure is positively evaluated by investors; this result is important also because it was obtained in the Italian market which is largely considered inefficient, and thus it supports the urgent need to provide high-quality information in each type of market.
Keywords: Social and environmental reports, global financial crisis, global reporting initiative guidelines, stakeholder theory, value relevance.