Abstract:Environmental and social disclosures entail costs, yet increasingly, large listed firms are making higher and better quality disclosures. In this paper we examine the link between a firm's environmental and social disclosures and its profitability and market value. We find that past profitability drives current social disclosures. However, consistent with the existing evidence, we do not find any relation between environmental disclosures and profitability. Further, while prior literature has largely focussed on environmental disclosure, we find that it is the social disclosures that matter to investors. We find that firms that make higher social disclosures have higher market values. Further analysis reveals that this link is driven by higher expected growth rates in the cash flows of such companies. Overall our findings are consistent with the resource based view of the firm and the voluntary disclosure theory, suggesting that firms with greater economic resources make more extensive disclosures which yield net positive economic benefits.

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We would like to thank the Leverhulme Trust for supporting the project which gave rise to this investigation. We would also like to thank the Editor, Peter Pope, and an anonymous referee for their constructive and helpful comments on an earlier draft of the paper. 2 Constructing and Testing Alternative Versions of the Fama-French and Momentum Portfolios and Factors in the UK AbstractThe aim of this paper is to construct and test alternative versions of the Fama-French and Carhart models for the UK market. We conduct a comprehensive analysis of such models, forming risk factors using approaches advanced in the recent literature including value weighted factor components and various decompositions of the risk factors. We also test whether such factor models can at least explain the returns of large firms. Despite these various approaches, we join Michou, Mouselli and Stark (2007) and Fletcher (2010) in demonstrating that such factor models fail to reliably describe the cross-section of returns in the UK.

Attitudes towards male and female managers within organizations are well documented, but how the stock market perceives their relative capabilities is less studied. Recent evidence documents a negative short‐run market reaction to the appointment of female chief executive officers and suggests that female executives are less informed than their male counterparts about future corporate performance. These results appear to dispute the stock market value of having women on corporate boards. However, such short‐run market reactions may retain a ‘gender bias’, reflecting the prevalence of negative stereotypes, where the market reacts to ‘beliefs’ rather than ‘performance’. This study tests for such bias by examining the stock market reaction to directors' trades in their own companies' shares, by measuring both the short‐run and longer‐term returns after the directors' trades. Allowing for firm and trade effects, some evidence is found that, in the longer term, markets recognize that female executives' trades are informative about future corporate performance, although initially markets underestimate these effects. This has important implications for research that has attempted to assess the value of board diversity by examining only short‐run stock market responses.

The primary aim of this paper is to make available the Fama-French and Momentum portfolios and factors for the UK market to the wide community of UK academic and post-graduate researchers. As Michou, Mouselli and Stark (2007) note, there is no freely downloadable equivalent to the data on Ken French's US website, and this paper is directed at remedying this situation. We depart from the majority of previous UK studies (with the exception of Agarwal and Taffler, 2008) by forming portfolios on 30 th September each year, which we argue is more appropriate for the UK.Although we construct factors and portfolios for the UK, by extending tests to portfolios formed on differing bases, we add to the caution expressed in Michou, Mouselli and Stark (2007) on whether such factor models completely capture risk in the UK. Our recommendation is that any tests of long run abnormal returns in UK be based on characteristic-matched portfolios. The data underlying this paper can be downloaded from: