Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56574 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorOberndorfer, Ulrichen
dc.contributor.authorWagner, Marcusen
dc.contributor.authorZiegler, Andreasen
dc.date.accessioned2011-08-02-
dc.date.accessioned2012-04-04T13:56:09Z-
dc.date.available2012-04-04T13:56:09Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aPhilipps-University Marburg, Faculty of Business Administration and Economics |cMarburgen
dc.relation.ispartofseries|aMAGKS Joint Discussion Paper Series in Economics |x30-2011en
dc.subject.jelQ56en
dc.subject.jelM14en
dc.subject.jelG14en
dc.subject.jelG12en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordsustainability stock indexesen
dc.subject.keywordcorporate financial performanceen
dc.subject.keywordevent studyen
dc.subject.keywordthree-factor modelen
dc.subject.keywordGARCH modelen
dc.subject.stwUnternehmensentwicklungen
dc.subject.stwBörsenkursen
dc.subject.stwNachhaltige Entwicklungen
dc.subject.stwEthische Geldanlageen
dc.subject.stwDeutschlanden
dc.subject.stwAktienindexen
dc.subject.stwUSAen
dc.titleDoes the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms-
dc.typeWorking Paperen
dc.identifier.ppn66528747Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
210.75 kB





Publikationen in EconStor sind urheberrechtlich geschützt.