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dc.contributor.authorOberndorfer, Ulrichen_US
dc.contributor.authorWagner, Marcusen_US
dc.contributor.authorZiegler, Andreasen_US
dc.date.accessioned2011-08-02en_US
dc.date.accessioned2012-04-04T13:56:09Z-
dc.date.available2012-04-04T13:56:09Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56574-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherUniv., Dep. of Business Administration & Economics Marburgen_US
dc.relation.ispartofseriesJoint discussion paper series in economics 30-2011en_US
dc.subject.jelQ56en_US
dc.subject.jelM14en_US
dc.subject.jelG14en_US
dc.subject.jelG12en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordsustainability stock indexesen_US
dc.subject.keywordcorporate financial performanceen_US
dc.subject.keywordevent studyen_US
dc.subject.keywordthree-factor modelen_US
dc.subject.keywordGARCH modelen_US
dc.subject.stwUnternehmensentwicklungen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwNachhaltige Entwicklungen_US
dc.subject.stwEthische Geldanlageen_US
dc.subject.stwDeutschlanden_US
dc.subject.stwAktienindexen_US
dc.subject.stwUSAen_US
dc.titleDoes the stock market value the inclusion in a sustainability stock index? An event study analysis for German firmsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn66528747Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

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