The Effect of Environmental Reporting and Forward-Looking Information Disclosure on Risk Spillover and Return Volatility of Companies Listed on the Tehran Stock Exchange

Subject Areas : Management

Hamidreza Mohammadi ¹ , Amirhossein Taebi Noghondari ^{2 *} , Mohammadreza Shoorvarzy ³

1 - PhD Student, Accounting Department, Islamic Azad University, Kerman, Iran
2 - 2. Assistant Professor, Department of Accounting, Islamic Azad University, Kerman Branch, Kerman, Iran
3 - Associate Professor, Department of Accounting, Islamic Azad University, Neyshabur Branch, Neyshabur, Iran

Received: 2025-03-28 Accepted : 2025-09-04 Published : 2025-09-12

Keywords: Environmental Reporting, Forward-looking Information Disclosure, Risk Spillover, Return Volatility, Tehran Stock Exchange. ,

Abstract :

The aim of this study was to investigate the effect of environmental reporting and future information on the spillover of return volatility risk. The present study is applied in terms of purpose and descriptive and post-event in terms of method. The statistical population of this study is companies listed on the Tehran Stock Exchange. In order to select the research sample, the systematic exclusion sampling method was used. The selected sample was 181 companies in the period 1402-1398, based on the determined indicators. Eviews econometric software was used to analyze the data. The results showed that environmental reporting disclosure had a significant effect on return volatility with a value of 0.4487, which is greater than the error level of 0.05 and indicates non-significance. Also, the effect of future information disclosure on the return volatility variable was calculated to be 0.0246970 and the t-statistic of the test was -2.930275, which, considering the significant value of 0.0035, which is smaller than the error level of 0.05, there is a 95% probability that future information disclosure has a negative and significant effect on return volatility. The coefficient of influence of environmental reporting disclosure on risk spillover was obtained as -5.110544 and the t-statistic was -8.200955, showing that environmental reporting disclosure has a negative and significant effect on risk spillover. Finally, future information disclosure on risk spillover was examined, and the coefficient of influence of future information disclosure on the risk spillover variable was obtained as -0.025938 and the t-statistic was -0.686384. Therefore, it can be said that future information disclosure does not have a significant effect on risk spillover.

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