The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context

The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context

We examine the impact on returns, risk and liquidity of stocks in the Asia Pacific markets when included into and deleted from the Dow Jones Sustainability World Index over the period 2002–2010. Using an event study methodology, we test five existing hypotheses and two new ones, called the ‘‘sustain...

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Bibliographic Details
Main Authors: Cheung, Adrian, Roca, E.
Format: Journal Article
Published: Elsevier BV * North-Holland 2013
Subjects:
corporate sustainability
event study
Asia Pacific
index additions and deletions
Online Access:http://hdl.handle.net/20.500.11937/38368

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