Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR Visibility

Strategic Management Journal, Forthcoming

HEC Paris Research Paper No. SPE-2019-1335

70 Pages Posted: 19 Apr 2019 Last revised: 25 May 2019

See all articles by Rodolphe Durand

Rodolphe Durand

HEC Paris - Strategy & Business Policy

Luc Paugam

HEC Paris, Accounting and Management Control Department

Hervé Stolowy

HEC Paris - Accounting and Management Control Department

Date Written: March 17, 2019

Abstract

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

Durand, Rodolphe and Paugam, Luc and Stolowy, Hervé, Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR Visibility (March 17, 2019). Strategic Management Journal, Forthcoming; HEC Paris Research Paper No. SPE-2019-1335. Available at SSRN: https://ssrn.com/abstract=3364141

Rodolphe Durand

HEC Paris - Strategy & Business Policy ( email )

Jouy-en-Josas Cedex, 78351
France

Luc Paugam

HEC Paris, Accounting and Management Control Department ( email )

1 avenue de la libération
Jouy-en-Josas, 78350
France

Hervé Stolowy (Contact Author)

HEC Paris - Accounting and Management Control Department ( email )

Jouy-en-Josas Cedex
France
+33 1 39 67 94 42 (Phone)
+33 1 39 67 70 86 (Fax)

HOME PAGE: http://www.hec.fr/stolowy

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