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Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR Visibility

Author

Listed:
  • Durand, Rodolphe

    (HEC Paris)

  • Paugam, Luc

    (HEC Paris)

  • Stolowy, Hervé

    (HEC Paris)

Abstract

In this paper, we replicate and expand Hawn, Chatterji, & Mitchell (2018) that used DJSI events to measure variations in firms’ CSR-activism and examined their effect on a firm’s stock price. We use DJSI events to capture variations in firms’ CSR visibility, holding CSR-activism constant by restricting our analyses to CSR-equivalent firms. First, we find similar results on stock price (i.e., no impact) and on trading volumes. Second, because professional market participants pay more attention to CSR-oriented firms and use visible cues such as DJSI- events, we study and find that additions to DJSI lead to more analysts following a firm, and that continuations on the DJSI lead to an increase in equity being held by long-term investors.

Suggested Citation

  • Durand, Rodolphe & Paugam, Luc & Stolowy, Hervé, 2019. "Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR Visibility," HEC Research Papers Series 1335, HEC Paris.
    • Handle: RePEc:ebg:heccah:1335
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    Cited by:

    1. Yu, Xiaojun & Li, Qiang & Zhang, Lin, 2024. "Major government customer and corporate environmental responsibility: Evidence from China," Journal of Business Research, Elsevier, vol. 183(C).

    More about this item

    Keywords

    DJSI; stock index; CSR; sustainability; event study;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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