Environmental Sustainability Disclosure and Firm Market Value: The Mediating Role of Investor Trading Behaviour in Nigerian Industrial Goods Firms

Abstract

Environmental sustainability disclosure is becoming increasingly important to capital-market decision making in Nigeria as the country moves toward mandatory ISSB-aligned sustainability reporting. Yet evidence on whether environmental disclosure is reflected in firm value, and the mechanism through which such value relevance may arise, remains inconclusive. This study examines the relationship between environmental sustainability disclosure and firm market value and tests whether investor trading behaviour mediates that relationship. Using a balanced panel of nine industrial goods firms listed on the Nigerian Exchange Group over 2010-2025 (144 firm-year observations), environmental disclosure is measured with a GRI-aligned disclosure index, firm value by Tobin's Q, investor trading behaviour by the natural logarithm of annual share-trading volume, and firm size by the natural logarithm of total assets. Panel diagnostics support random-effects GLS, with firm-clustered robust standard errors used for inference. Environmental disclosure is negatively associated with firm market value (β = -2.655, p = 0.014) but does not significantly predict investor trading behaviour (β = -0.517, p = 0.107). Investor trading behaviour is also not significantly associated with firm market value (β = 0.144, p = 0.514). The estimated indirect effect is -0.0743, and the 5,000-replication firm-cluster bootstrap confidence interval [-0.490, 0.267] includes zero. The findings provide no evidence that annual trading activity mediates the environmental disclosure-firm value relationship and suggest that disclosure breadth alone does not generate a market-value premium in the Nigerian industrial goods sector.