Impact of Environmental Initiative Disclosures on Share Prices of Russian Public Companies

The purpose of this work is to assess the impact of disclosure of information on the environmental agenda in the annual reports of domestic companies on their share price. The empirical base of the study included annual reports and financial indicators of the 100 largest public companies in Russia by revenue in the periods from 2019 to 2022. The research methods were NLP methods of text analysis: the BERTopic transformer model and Latent Dirichlet Allocation. Using this modeling, individual topics on the environmental agenda of business in Russia were identified, and using lemmatization, the frequency of disclosure of the resulting topics in each report was digitized. During the analysis, 6 main topics were identified, most often disclosed in the financial reports of public companies in Russia: the general topic of mentioning any environmental initiatives; actions aimed to preserve the environment; availability of own controlled production processes; assessment of the harmful impact of production and business on the environment; attitude towards environmental initiatives in the company; corporate approaches of the company, laws, rights, declarations and own principles in the development of environmental initiatives in business. Econometric modeling based on the construction of regression models was also used as a research method. The results obtained showed that the frequency of disclosure of environmental topics in the annual reports of Russian companies affects the dynamics of stock prices of these companies in the long term. Moreover, the estimated effect of disclosing the environmental agenda in the annual reports of public companies in Russia on the shares of these companies varies depending on the topic of individual environmental issues. The main topics that have an impact are the disclosure of the company's actions aimed at preserving the environment, and corporate approaches and patterns of behavior disclosed in the annual report.