Do Investors Trade around Social Rating Announcements?

Alexis Cellier, Pierre Chollet and Jean-François Gajewski ()
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Alexis Cellier: IRG - Institut de Recherche en Gestion - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
Pierre Chollet: MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier
Jean-François Gajewski: IREGE - Institut de Recherche en Gestion et en Economie - USMB [Université de Savoie] [Université de Chambéry] - Université Savoie Mont Blanc

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Abstract: This paper investigates trading around Corporate Social Responsibility (CSR) rating announcements. Focusing on CSR rating announcements made by Vigeo on European markets, we use Euronext intraday data to prove that trading volume drops sharply before announcements and increases afterwards. Willingness to trade depends mainly on prior private information and the content of the announcement. Our results show effects from disaggregated scores, but not from overall scores. More specifically, we find that some topics like business behaviour, human resources and human rights significantly influence investor trades. Environmental risk does not have an impact on trading behaviour.

Date: 2016-06
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Citations: View citations in EconPapers (6)

Published in European Financial Management, 2016, 22 (3), pp.484-515. ⟨10.1111/eufm.12066⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02009571

DOI: 10.1111/eufm.12066

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