INVESTORSʼ REACTIONS FOR SUSTAINABILITY INDEX INCLUSION – IS CSR A GOOD NEWS?
Keywords:
CSR, Sustainability, ESG, event studyAbstract
This article presents the problem of measuring the impact of information disclosure about
CSR activities on stock performance. The research was performed on two indexes which represent
Pan-European capital market and local Central and Eastern European capital market. Different
market characteristics could limit the application of results presented in numerous studies
performed on well-established markets. The information with relatively strong signal for investor
is the inclusion to CSR index. In order to measure the investors’ reaction the event study analysis
was performed. It was proved that the short–term reaction was very similar on each market. The
reaction to announcement of CSR index inclusion was slightly negative, but this effect was offset
by the opposite reaction in the day of inclusion. The total reaction in the seven days event window
was close to zero. However, the long-term reaction measured in 30 trading days window was
negative for two markets, but the local market investors show more discontent.
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