Muchiri, Stephen Kariuki2026-03-132026-03-132025-11https://ir-library.ku.ac.ke/handle/123456789/32732A Research Thesis Submitted In Partial Fulfillment of the Requirements for the Award of the Degree of Doctor of Philosophy in Business Administration (Finance) to the School of Business, Economics and Tourism of Kenyatta University .November, 2025 Supervisors Job Omagwa Peter Ndung'uSecurity exchanges play an important role in an economy by encouraging savings and investments. However, for the Nairobi Securities Exchange (NSE), this role has been undermined by the erratic movement in firm value in the recent past. In the period from 2017 to 2023, Tobin’s Q was very erratic going to a high of 1.3 in September 2021 and a low of 1.0 in November 2023. The exchange launched an ESG Disclosures Guidance Manual in November 2021 in which they claimed that sustainability disclosures are positively correlated with better financial performance. Evidence from previous studies presents mixed results. This study aimed to examine the effect of sustainability disclosures on firm value for firms listed at the Nairobi Securities Exchange, Kenya. Specifically, the study looked to establish the effect of Environmental, Social and Governance disclosures on firm value of firms listed at the exchange. Further, the study went on to assess the moderating effect of firm size on the relationship between the sustainability variables and firm value. The study was anchored on the Shareholder theory, Signalling theory, Stakeholder theory, Social Contract theory and the Agency theory. The study adopted a positivist research philosophy and an explanatory research design. Quantitative, secondary panel data was collected from the companies’ annual reports for the period 2017 to 2023 by way of a document review into a Microsoft Excel spreadsheet based data collection tool. Stata V12 software was used to analyze the data using descriptive statistics and inferential statistics. Hypothesis testing was carried out on a dynamic Generalized Method of Moments model. Post-test model specification tests included Arellano-Bond serial-correlation test AR1 and AR2 and Sargan-Hansen tests for over-identifying restrictions. Ethical considerations were taken into account by obtaining relevant research clearance and approvals. The study found that the first and second lag of firm value with p-values of 0.014 and 0.016 respectively had a positive and significant effect on current firm value. It also found that the contemporaneous value of governance disclosures had a positive and significant effect on firm value (p-value = 0.004). Additionally, the first lag of social disclosures (p-value of 0.046) had a negative and significant effect on firm value. Tests for moderation showed that firm size significantly and positively affected the relationship between governance and firm value (p-value = 0.000). Environmental disclosure did not have a significant effect on firm value. The study recommend that firms should invest in robust governance frameworks, critically review their social strategies and reconsider the need to invest in environmental activities. It also recommends that government and industry regulators should support smaller firms with governance improvements because it has a direct impact on their value. Additionally, regulators should mandate ESG disclosure of quantitative metrics, including environmental, social, and governance data, to improve reporting quality. Finally, the study recommends a review of the stakeholder theory based on the finding that not all stakeholders contribute uniformly or even positively to firm value.enThesis