Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR Visibility - HEC Paris - École des hautes études commerciales de Paris Access content directly
Preprints, Working Papers, ... Year : 2020

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

Rodolphe Durand
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Luc Paugam
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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.
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Dates and versions

hal-02896067 , version 1 (10-07-2020)

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  • HAL Id : hal-02896067 , version 1

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Rodolphe Durand, Luc Paugam, Hervé Stolowy. Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR Visibility. 2020. ⟨hal-02896067⟩

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