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

Rodolphe Durand , Luc Paugam , Hervé Stolowy (1)

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC

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

Domains: Business administration

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