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

Author

Listed:
  • Miwa Nakai

    (Graduate School of Economics, Kobe University)

  • Keiko Yamaguchi

    (Graduate School of Humanities and Social Sciences, Okayama University)

  • Kenji Takeuchi

    (Graduate School of Economics, Kobe University)

Abstract

This paper 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, 2012. "Sustainability membership and stock price: an empirical study using the Morningstar-SRI Index," Discussion Papers 1204, Graduate School of Economics, Kobe University.
    • Handle: RePEc:koe:wpaper:1204
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    References listed on IDEAS

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    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.
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    2. Jedynak Tomasz, 2017. "Is it Worth Being Good? – The Efficiency and Risk of Socially Responsible Investing in Light of Various Empirical Studies," Financial Internet Quarterly (formerly e-Finanse), Paradigm, vol. 13(3), pages 1-14, September.
    3. Guler Aras & Nuray Tezcan & Ozlem Kutlu Furtuna, 2018. "The value relevance of banking sector multidimensional corporate sustainability performance," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 25(6), pages 1062-1073, November.
    4. Mirela Clementina Panait & Marian Catalin Voica & Eglantina Hysa & Alfonso Siano & Maria Palazzo, 2022. "The Bucharest Stock Exchange: A Starting Point in Structuring a Valuable CSR Index," JRFM, MDPI, vol. 15(2), pages 1-14, February.
    5. Barontini, Roberto & Gioja, Luigi, 2025. "The market power of ESG index providers: The effects of rebalancing ESG-themed indices," Research in International Business and Finance, Elsevier, vol. 77(PA).
    6. Saiful Arefeen & Koji Shimada, 2020. "Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan," Sustainability, MDPI, vol. 12(2), pages 1-20, January.
    7. 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.
    8. Rohit Kaushik, 2026. "Investor perceptions and ESG investment behavior in India," SN Business & Economics, Springer, vol. 6(5), pages 1-13, May.
    9. Mustafa K. Yilmaz & Mine Aksoy & Ekrem Tatoglu, 2020. "Does the Stock Market Value Inclusion in a Sustainability Index? Evidence from Borsa Istanbul," Sustainability, MDPI, vol. 12(2), pages 1-22, January.
    10. Tayar, Tunahan & Önder, Zeynep, 2026. "ESG index reconstitutions and stock returns: Does culture have a role?," Finance Research Letters, Elsevier, vol. 90(C).
    11. Peng Zou & Qi Wang & Jinhong Xie & Chenxi Zhou, 2020. "Does doing good lead to doing better in emerging markets? Stock market responses to the SRI index announcements in Brazil, China, and South Africa," Journal of the Academy of Marketing Science, Springer, vol. 48(5), pages 966-986, September.
    12. Wanling Rudkin & Charlie X Cai, 2019. "Reaction Asymmetries to Social Responsibility Index Recomposition: A Matching Portfolio Approach," Papers 1911.12582, arXiv.org.
    13. Mitsunami, Kohei & Nakai, Miwa, 2024. "Are sustainable firms more innovative? The case of China," Japan and the World Economy, Elsevier, vol. 69(C).

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    Keywords

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    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

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