Do Investors Trade Around Social Rating Announcements?

32 Pages Posted: 6 Jun 2016

See all articles by Alexis Cellier

Alexis Cellier

University Paris-Est Créteil

Pierre CHOLLET

Université Montpellier I

Jean-Francois Gajewski

University Savoie Mont-Blanc, IREGE

Date Written: June 2016

Abstract

This paper investigates trading around Corporate Social Responsibility (CSR) rating announcements. Focusing on CSR rating announcements made by Vigeo on European markets, we use Euronext intraday data to prove that trading volume drops sharply before announcements and increases afterwards. Willingness to trade depends mainly on prior private information and the content of the announcement. Our results show effects from disaggregated scores, but not from overall scores. More specifically, we find that some topics like business behaviour, human resources and human rights significantly influence investor trades. Environmental risk does not have an impact on trading behaviour.

Keywords: corporate social responsibility, rating, trading volume, event study

Suggested Citation

Cellier, Alexis and CHOLLET, Pierre and Gajewski, Jean-Francois, Do Investors Trade Around Social Rating Announcements? (June 2016). European Financial Management, Vol. 22, Issue 3, pp. 484-515, 2016. Available at SSRN: https://ssrn.com/abstract=2789885 or http://dx.doi.org/10.1111/eufm.12066

Alexis Cellier (Contact Author)

University Paris-Est Créteil ( email )

France

Pierre CHOLLET

Université Montpellier I ( email )

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

Jean-Francois Gajewski

University Savoie Mont-Blanc, IREGE ( email )

4 Chemin de Bellevue
BP 80439
Annecy-le-Vieux, 74944
France
33 6 10 32 71 06 (Phone)
33 4 50 09 24 39 (Fax)

HOME PAGE: http://www.univ-savoie.fr/

Register to save articles to
your library

Register

Paper statistics

Downloads
0
Abstract Views
211
PlumX Metrics