DO SUSTAINABILITY DISCLOSURES MATTER FOR MARKET VALUATION? EVIDENCE FROM CONSUMER GOODS FIRMS IN SUB-SAHARAN AFRICA

Abstract

This study examines the value relevance of corporate sustainability reporting frameworks among listed consumer goods manufacturing firms in Sub-Saharan Africa (SSA). Using an unbalanced panel of 826 firm-year observations from 87 firms across 13 SSA countries over the study period, the analysis assesses whether disclosures aligned with the Sustainable Development Goals (SDGs), Global Reporting Initiative (GRI), Integrated Reporting (IR), and the Taskforce on Climate-related Financial Disclosures (TCFD) convey value-relevant information to capital markets. Firm value relevance is proxied using market-based valuation residuals derived from an Ohlson-type framework, while sustainability disclosures are measured using binary adoption indicators. The study employs panel Ordinary Least Squares, Fixed Effects, and Generalised Linear Models, controlling for firm size, leverage, profitability, and country effects. The results reveal heterogeneous market responses to sustainability disclosures. SDG and TCFD reporting are negatively associated with value relevance, suggesting investor scepticism towards disclosures perceived as symbolic or risk- revealing in weaker institutional environments. In contrast, GRI-based reporting exhibits a positive and significant association with firm valuation once firm-specific heterogeneity is controlled for, while Integrated Reporting shows no significant valuation effect. Overall, the findings indicate that the value relevance of sustainability reporting in SSA is contingent on disclosure standardisation, credibility, and institutional context.

Keywords: Sustainability reporting; Value relevance; ESG disclosure; GRI; SDGs; TCFD