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

Author

Listed:
  • Rodolphe Durand
  • Luc Paugam
  • Hervé Stolowy

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

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

  • Rodolphe Durand & Luc Paugam & Hervé Stolowy, 2020. "Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR Visibility," Working Papers hal-02896067, HAL.
    • Handle: RePEc:hal:wpaper:hal-02896067
    as

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