Sustainability membership and stock price: an empirical study using the Morningstar-SRI Index
AbstractThis article investigates how investors evaluate a membership of sustainability index. By using the data on the Morningstar Socially Responsible Investment Index from 2003 to 2010, we estimate the impact of inclusion on and exclusion from the Index on the stock price. Result shows that the inclusion on the index was evaluated significantly positively, while the removal from the index did not lead to a significant drop in share prices. We also found that the average cumulative abnormal returns were negative in the earlier years but positive in later years. This could be due to change in appreciation of the concept of corporate social responsibility by investors throughout the years.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 23 (2013)
Issue (Month): 1 (January)
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Web page: http://www.tandfonline.com/RAFE20
Other versions of this item:
- Miwa Nakai & Keiko Yamaguchi & Kenji Takeuchi, 2012. "Sustainability membership and stock price: an empirical study using the Morningstar-SRI Index," Discussion Papers 1204, Graduate School of Economics, Kobe University.
- A13 - General Economics and Teaching - - General Economics - - - Relation of Economics to Social Values
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- M14 - Business Administration and Business Economics; Marketing; Accounting - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Costanza Consolandi & Ameeta Jaiswal-Dale & Elisa Poggiani & Alessandro Vercelli, 2008.
"Global Standards and Ethical Stock Indexes: the case of the Dow Jones Sustainability Stoxx Index,"
Department of Economic Policy, Finance and Development (DEPFID) University of Siena
0208, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
- Costanza Consolandi & Ameeta Jaiswal-Dale & Elisa Poggiani & Alessandro Vercelli, 2009. "Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index," Journal of Business Ethics, Springer, vol. 87(1), pages 185-197, April.
- Michael Robinson & Anne Kleffner & Stephanie Bertels, 2011. "Signaling Sustainability Leadership: Empirical Evidence of the Value of DJSI Membership," Journal of Business Ethics, Springer, vol. 101(3), pages 493-505, July.
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