Why Do Investors Trade Around Social Rating Announcements?

32 Pages Posted: 17 Sep 2012 Last revised: 5 Nov 2012

See all articles by Alexis Cellier

Alexis Cellier

University Paris-Est Créteil (UPEC)


Université Montpellier I

Jean-Francois Gajewski

University Jean Moulin Lyon 3

Date Written: June 6, 2012


This paper investigates the trading motives around Corporate Social Responsibility (CSR) rating announcements. Focusing on the European market, we use Vigeo ratings, which are disclosed almost every month, while others agencies like KLD rate whole firms annually. This periodicity enables us to use an event study methodology to measure abnormal trading volume associated with rating announcements. Controlling for endogeneity and causality this paper clearly shows that before the announcement trading volume drops sharply while it increases afterwards, both effects compensating. The willingness to trade depends on trading costs, prior private information and the information content of the announcement. Our results show no effect of aggregated scores (or their revision). We evidence that Business Behavior, Human Resources and some precise topics (as Executive Remuneration or Societal Behavior) influence significantly investors’ trades. Beyond financial information, CSR rating agencies produce valuable information used by investors. These results suggest that a broader dissemination of CSR rating should improve market quality.

Keywords: Corporate Social Responsability, Rating, Trading Volume, Event Study

JEL Classification: G11, G12, G14, L25, M14

Suggested Citation

Cellier, Alexis and CHOLLET, Pierre and Gajewski, Jean-Francois, Why Do Investors Trade Around Social Rating Announcements? (June 6, 2012). 29th International Conference of the French Finance Association (AFFI) 2012, Available at SSRN: https://ssrn.com/abstract=2079125 or http://dx.doi.org/10.2139/ssrn.2079125

Alexis Cellier (Contact Author)

University Paris-Est Créteil (UPEC) ( email )

61 avenue du General de Gaulle
Creteil cedex, 94010


Université Montpellier I ( email )

Avenue de la Mer Site Richter
163 Rue Auguste Broussonnet
Montpellier, Cedex 2 34090

Jean-Francois Gajewski

University Jean Moulin Lyon 3 ( email )

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics