Do Investors Actually Value Sustainability? New Evidence from Investor Reactions to the Dow Jones Sustainability Index (DJSI)

Hawn, O., Chatterji, A. K., & Mitchell, W. (2018). Do investors actually value sustainability? New evidence from investor reactions to the Dow Jones Sustainability Index (DJSI). Strategic Management Journal, 39(4), 949-976. doi:doi:10.1002/smj.2752

56 Pages Posted: 2 Apr 2014 Last revised: 10 Jun 2020

See all articles by Olga Hawn

Olga Hawn

UNC Kenan-Flagler Business School

Aaron Chatterji

Duke University - Fuqua School of Business

Will Mitchell

Duke University - Fuqua School of Business; University of Toronto - Rotman School of Management

Date Written: August 25, 2018

Abstract

Research exploring investor reactions to sustainability has substantial empirical limitations, which we address with a large-scale longitudinal financial event study of the first global sustainability index, DJSI World. We examine investor reactions to firms from 27 countries over 17 years that are added, deleted, or continue on the index. We find that once relevant controls and comparisons to observationally-equivalent firms beyond the index are included, DJSI events have only limited significance and/or materiality. Nonetheless, investors’ valuation of sustainability around the world has evolved over time, involving diminishing reactions to U.S. firms and increasing benefits, particularly of continuation on the index, over time. The study highlights the importance of careful analysis and longitudinal global samples in making inferences about the financial effects of social performance.

Keywords: Sustainability, CSR, firm value, investors, financial event study, time, space

Suggested Citation

Hawn, Olga and Chatterji, Aaron and Mitchell, Will, Do Investors Actually Value Sustainability? New Evidence from Investor Reactions to the Dow Jones Sustainability Index (DJSI) (August 25, 2018). Hawn, O., Chatterji, A. K., & Mitchell, W. (2018). Do investors actually value sustainability? New evidence from investor reactions to the Dow Jones Sustainability Index (DJSI). Strategic Management Journal, 39(4), 949-976. doi:doi:10.1002/smj.2752, Available at SSRN: https://ssrn.com/abstract=2418300 or http://dx.doi.org/10.2139/ssrn.2418300

Olga Hawn (Contact Author)

UNC Kenan-Flagler Business School ( email )

Chapel Hill, NC 27599
United States

Aaron Chatterji

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States

Will Mitchell

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States

University of Toronto - Rotman School of Management

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada

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