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Title:Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms PDF Logo
Authors:Oberndorfer, Ulrich
Wagner, Marcus
Ziegler, Andreas
Issue Date:2011
Series/Report no.:Joint discussion paper series in economics 30-2011
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 inclusion 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 negative impacts. This suggests that the inclusion in a more visible sustainability stock index has larger negative impacts.
Subjects:sustainability stock indexes
corporate financial performance
event study
three-factor model
GARCH model
Document Type:Working Paper
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

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