آیا بازار سهام شمول در یک شاخص سهام پایدار را ارزشمند می کند؟تجزیه و تحلیل مطالعه رویداد برای شرکت های آلمانی

This paper empirically analyzes the effect of the inclusion of German corporations in the Dow Jones STOXX Sustainability Index (DJSI STOXX) and the Dow Jones Sustainability World Index (DJSI World) on stock performance. In order to receive robust estimation results, we apply an (short-term) event study approach that is based on both a modern asset pricing model, namely the three-factor model according to Fama and French [24], and additionally a t-GARCH(1,1) model. Our empirical results suggest that stock markets may penalize the inclusion of a firm in sustainability stock indexes. This finding is mainly driven by a strongly negative effect of the inclusion in the DJSI World. In contrast, we do not find significant average cumulative abnormal returns for the inclusion in the DJSI STOXX. This suggests that the inclusion in a more visible sustainability stock index may have larger negative impacts.

The question whether voluntary activities of a firm to protect the natural environment or to comply with social and ethical norms are financially beneficial has been of vital interest for corporate management for a long time. Knowledge about the relationship between corporate sustainability (i.e. environmental or social) performance and financial performance is also important for public policy. If corporate environmental or social activities are privately rewarded, while bad sustainability performance is penalized, it can be argued that the main goal of public policy would be to ensure publication and spreading of information about corporate sustainability performance. This approach can be thought to be more cost-efficient than traditional (e.g., command and control) regulation. Finally, for investors the question is whether socially responsible investing (SRI), also called ethical or sustainable investing (e.g., [54]), which refers to the practice of choosing stocks on the basis of environmental, social, and ethical screens, is rewarded or penalized by the stock market.

This paper empirically analyzes the effect of the inclusion of German corporations in sustainability stock indexes on stock performance. In this respect, we examine the DJSI STOXX, which claimed to comprise the European leaders in terms of sustainability performance, and the DJSI World, which claims to comprise the respective world-wide leaders. In order to arrive at robust estimation results, our short-term event study approach is based on both a modern asset pricing model, namely the three-factor model of Fama and French [24], and additionally on a t-GARCH(1,1) model. Our empirical analysis implies negative average cumulative abnormal returns, for example, in the amount of almost 2% in the complete six days event window [0,5]. This result is obviously mainly driven by the effect of the inclusion in the DJSI World. While the average cumulative abnormal returns are insignificant if a firm is included in the DJSI STOXX, the inclusion in the DJSI World leads to strong negative impacts. For example, our empirical analysis implies in this case an average decrease of the stock returns in the amount of more than 2% in the complete six days event window [0,5].