Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms

Ulrich Oberndorfer (), Marcus Wagner and Andreas Ziegler
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Ulrich Oberndorfer: Federal Ministry of Economics and Technology

No 201130, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: This paper empirically analyzes the effect of the inclusion of German corporations in the Dow Jones STOXX Sustainability Index (DJSI STOXX) and the Dow Jones Sustainability World Index (DJSI World) on stock performance. In order to receive robust estimation results, we apply an event study approach that is based on both a modern asset pricing model, namely the three-factor model according to Fama and French (1993), and additionally on a GARCH model. Our empirical analysis implies that stock markets may penalize the inclusion of a firm in sustainability stock indexes. This result is mainly driven by the negative effect of the inclu-sion in the DJSI World. While we do not find significant average cumulative abnormal returns for the inclusion in the DJSI STOXX, the inclusion in the DJSI World leads to strong nega-tive impacts. This suggests that the inclusion in a more visible sustainability stock index has larger negative impacts.

Keywords: Sustainability stock indexes; Corporate financial performance; Event study; Three-factor model; GARCH model (search for similar items in EconPapers)
JEL-codes: C22 G12 G14 M14 Q56 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2011
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Citations: View citations in EconPapers (6)

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https://www.uni-marburg.de/en/fb02/research-groups ... /30-2011_ziegler.pdf First version, 2011 (application/pdf)

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Journal Article: Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201130

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