The impact of green information disclosure on stock price synchronicity: an analysis based on NER and TF-BIDF textual techniques

Abstract This paper investigates how corporate green information disclosure affects stock price synchronicity, addressing concerns about information asymmetry in capital markets. Prior literature suggests that environmental disclosure can influence investor perception and market efficiency, yet the underlying signaling mechanisms remain insufficiently examined. Using CSR reports from A-share listed companies in China between 2008 and 2022, we apply Named Entity Recognition (NER) and Term Frequency-Back Inverse Document Frequency (TF-BIDF) techniques to extract and quantify disclosure signals. We find that both signal heterogeneity (firm-specific information) and signal consistency (uniform information transmission) are associated with lower stock price synchronicity, indicating improved information transparency. The effect of signal heterogeneity is stronger among non-state-owned enterprises and firms with better CSR performance. However, excessively high levels of disclosure may attenuate the signaling effects. These findings highlight the dual channels through which CSR reporting shapes market responses and offer insights into enhancing information efficiency through more strategic disclosure practices.