Do stock investors value corporate sustainability? Evidence from an event study
This paper analyzes the impacts of index inclusions and exclusions on corporate sustainable firms by studying a sample of US stocks that are added to or deleted from the Dow Jones Sustainability World Index over the period 2002–2008. The impacts are measured in terms of stock return, risk and liquid...
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| Format: | Journal Article |
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Springer Netherlands
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/45995 |
| _version_ | 1848757438306582528 |
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| author | Cheung, Adrian |
| author_facet | Cheung, Adrian |
| author_sort | Cheung, Adrian |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper analyzes the impacts of index inclusions and exclusions on corporate sustainable firms by studying a sample of US stocks that are added to or deleted from the Dow Jones Sustainability World Index over the period 2002–2008. The impacts are measured in terms of stock return, risk and liquidity. We cannot find any strong evidence that announcement per se has any significant impact on stock return and risk. However, on the day of change, index inclusion (exclusion) stocks experience a significant but temporary increase (decrease) in stock return. Liquidity deteriorates after the announcement day and bounces back significantly near the day of change. Systematic risk shows little change after announcements. But, idiosyncratic risk is higher after announcements. The overall results support Harris and Eitan’s (The Journal of Finance 41(4), 815–829, 1986) price pressure hypothesis, which posits that event announcement does not carry information and any shift in demand (and hence the corresponding price change and liquidity change) is temporary. |
| first_indexed | 2025-11-14T09:28:06Z |
| format | Journal Article |
| id | curtin-20.500.11937-45995 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:28:06Z |
| publishDate | 2011 |
| publisher | Springer Netherlands |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-459952017-09-13T16:08:22Z Do stock investors value corporate sustainability? Evidence from an event study Cheung, Adrian corporate sustainability – Dow Jones Sustainability World Index – event study – characteristic-based benchmark model This paper analyzes the impacts of index inclusions and exclusions on corporate sustainable firms by studying a sample of US stocks that are added to or deleted from the Dow Jones Sustainability World Index over the period 2002–2008. The impacts are measured in terms of stock return, risk and liquidity. We cannot find any strong evidence that announcement per se has any significant impact on stock return and risk. However, on the day of change, index inclusion (exclusion) stocks experience a significant but temporary increase (decrease) in stock return. Liquidity deteriorates after the announcement day and bounces back significantly near the day of change. Systematic risk shows little change after announcements. But, idiosyncratic risk is higher after announcements. The overall results support Harris and Eitan’s (The Journal of Finance 41(4), 815–829, 1986) price pressure hypothesis, which posits that event announcement does not carry information and any shift in demand (and hence the corresponding price change and liquidity change) is temporary. 2011 Journal Article http://hdl.handle.net/20.500.11937/45995 10.1007/s10551-010-0646-3 Springer Netherlands restricted |
| spellingShingle | corporate sustainability – Dow Jones Sustainability World Index – event study – characteristic-based benchmark model Cheung, Adrian Do stock investors value corporate sustainability? Evidence from an event study |
| title | Do stock investors value corporate sustainability? Evidence from an event study |
| title_full | Do stock investors value corporate sustainability? Evidence from an event study |
| title_fullStr | Do stock investors value corporate sustainability? Evidence from an event study |
| title_full_unstemmed | Do stock investors value corporate sustainability? Evidence from an event study |
| title_short | Do stock investors value corporate sustainability? Evidence from an event study |
| title_sort | do stock investors value corporate sustainability? evidence from an event study |
| topic | corporate sustainability – Dow Jones Sustainability World Index – event study – characteristic-based benchmark model |
| url | http://hdl.handle.net/20.500.11937/45995 |