We analyse with an event study approach the stock market reaction to Lehman Brothers' ling for chapter 11. Our inquiry on abnormal returns of about 2,700 stocks around the event date documents that RiskMetrics-KLD corporate governance and product quality indexes capture factors a ecting investors' reaction to the shock. We also nd that investors rationally attribute more value to the information on each rating domain than to affiliation/non-affiliation to the FTSE KLD 400 Social Index. Investors seem to discover, after the event, that KLD ratings provide original information which is not captured by traditional nancial rating indicators.
More papers in Sustainable Investment and Corporate Governance Working Papers from Sustainable Investment Research Platform Address: Economics of Corporate Sustainability Management, Department of Industrial Economics and Management, Royal Institute of Technology, SE-100 44 Stockholm, SWEDEN Contact information at EDIRC. Series data maintained by Pontus Cerin ().