Investorsâ€™ reaction to environmental performance: A global perspective of the Newsweekâ€™s â€œGreen Rankingsâ€
We use event study analysis to determine whether the release of Newsweekâ€™s â€œGlobal 100 Rankingâ€ is relevant for the market. We look at one- and two-day event windows to check two possible reactions of the market: changes in the value of a portfolio consisting of one unit of the stock of each listed company, and changes in the relative price of the stocks. The results show that the market reacted to the â€œGlobal 100 Rankingâ€ by changing the relative price of the stocks but not the value of the portfolio. Specifically, getting one position closer to the top of Newsweekâ€™s â€œGlobal 100 Green Rankingsâ€ increases the value of an average firm in the list by one billion dollar. There is also some evidence of a stronger reaction of non-U.S. traded stocks compared to U.S. traded ones. Non-heavy sectors display a more robust reaction to than heavy sectors. Results are very robust to different model specifications.
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