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

Miwa Nakai, Keiko Yamaguchi and Kenji Takeuchi

Applied Financial Economics, 2013, vol. 23, issue 1, 71-77

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.

Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1080/09603107.2012.709602 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Sustainability membership and stock price: an empirical study using the Morningstar-SRI Index (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:23:y:2013:i:1:p:71-77

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603107.2012.709602

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().