Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR Visibility
Strategic Management Journal, Forthcoming
70 Pages Posted: 19 Apr 2019 Last revised: 25 May 2019
Date Written: March 17, 2019
In this paper, we replicate and expand Hawn, Chatterji, & Mitchell (2018) that used DJSI events to measure variations in firms’ CSR-activism and examined their effect on a firm’s stock price. We use DJSI events to capture variations in firms’ CSR visibility, holding CSR-activism constant by restricting our analyses to CSR-equivalent firms. First, we find similar results on stock price (i.e., no impact) and on trading volumes. Second, because professional market participants pay more attention to CSR-oriented firms and use visible cues such as DJSI- events, we study and find that additions to DJSI lead to more analysts following a firm, and that continuations on the DJSI lead to an increase in equity being held by long-term investors.
Keywords: DJSI, stock index, CSR, sustainability, event study
JEL Classification: G14, M14
Suggested Citation: Suggested Citation