IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v23y2013i1p71-77.html
   My bibliography  Save this article

Sustainability membership and stock price: an empirical study using the Morningstar-SRI Index

Author

Listed:
  • Miwa Nakai
  • Keiko Yamaguchi
  • Kenji Takeuchi

Abstract

This 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.

Suggested Citation

  • Miwa Nakai & Keiko Yamaguchi & Kenji Takeuchi, 2013. "Sustainability membership and stock price: an empirical study using the Morningstar-SRI Index," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 71-77, January.
  • Handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:71-77
    DOI: 10.1080/09603107.2012.709602
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09603107.2012.709602
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. 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.
    2. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nakai, Miwa & Yamaguchi, Keiko & Takeuchi, Kenji, 2016. "Can SRI funds better resist global financial crisis? Evidence from Japan," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 12-20.

    More about this item

    JEL classification:

    • 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; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:23:y:2013:i:1:p:71-77. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.