The Impact of Sustainability Disclosure on Firm Value: A Quantile Regression Evidence From an African Emerging Country

ABSTRACT This study examines sustainability disclosure index (SDI) impact on firm value, specifically Tobin's Q , within an emerging African market. The dataset comprises Moroccan listed firms from 2014 to 2023. Drawing on signaling theory and resource‐based view theory, this paper investigates the relationship between SDI and firm value across quantile levels and within sensitive industries. Methodologically, we employ pooled OLS and fixed‐effects panel models, complemented by quantile regression and subsample quantile regressions on a panel of 62 Moroccan listed firms. The findings reveal SDI negatively and significantly impacts firm value. The quantile regression indicates this negative association is more pronounced among higher‐valued firms. The negative sustainability disclosure‐value relation appears stronger in nonsensitive industries at higher quantiles, while it is more pronounced in sensitive industries at lower quantiles. The results underscore the importance of contextualizing findings to emerging markets, as previous results in developed markets showed a positive relationship. This confirms investors and the market in an African emerging market do not perceive transparency in disclosing sustainability information favorably.