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

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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Preprints, Working Papers, ...
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https://hal-hec.archives-ouvertes.fr/hal-02896067
Contributor : Antoine Haldemann <>
Submitted on : Friday, July 10, 2020 - 12:16:21 PM
Last modification on : Sunday, August 2, 2020 - 8:44:03 AM

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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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