The content of sustainability disclosure in the risk–return perspective

Our aim was to assess how companies that provide more information in qualitative and quantitative terms on sustainability are perceived in terms of risk, analysing the perspective of lenders and investors, adopting the signalling theory. To achieve our research aims, we applied a qualitative-quantitative methodology. Specifically, after a sample selection, in the first step, we adopted a qualitative methodology through a content analysis approach to investigate the quality and quantity of information disclosed and to assign a score to each company. Finally, we realized a correlation analysis. The results revealed a differentiated picture across ESG pillars and score types. The positive association between environmental disclosure and profitability indicators (ROE) suggests that companies with genuine environmental commitments show better financial performance, consistently with a separating equilibrium. The normalised social and governance scores show a negative association with the cost of equity, suggesting that more balanced disclosure reduces information asymmetries with investors and lenders. This evidence is relevant from both a theoretical and practical perspective. From a theoretical perspective, it fills a gap in literature and advances research on the effect of sustainability disclosure on corporate risk and company valuation. From a practical perspective, it supports managers in understanding how adequate sustainability disclosure that goes beyond mere legislative requirements can be a tool for attracting investment.