INVESTORSʼ REACTIONS FOR SUSTAINABILITY INDEX INCLUSION – IS CSR A GOOD NEWS?
Słowa kluczowe:
CSR, Sustainability, ESG, event studyAbstrakt
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.
Pobrania
Bibliografia
Aupperle K. E., Carroll A. B., Hatfield J. D., 1985, An empirical examination of the relationship between Corporate Social Responsibility and profitability, „The Academy of Management
Google Scholar
Journal”, vol. 28, no. 2.
Google Scholar
Bator F. M., 1958, The Anatomy of Market Failure, „Quarterly Journal of Economics”, vol. 72(3).
Google Scholar
Canadian Institute of Chartered Accountants (CICA), 2010, Environmental, Social, and Governance (ESG) Issues in Institutional Investor Decision Making, CICA, Toronto.
Google Scholar
Chatterij A., Levine D., 2005, Breaking down the wall of codes: evaluating non-financial performance
Google Scholar
measurement, Working Paper Series, Center for Responsible Business, UC Berkeley.
Google Scholar
Cheung A. W. K., Roca E., 2013, The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context, „Journal of Asian Economics”, vol. 24.
Google Scholar
Cheung A., 2011, Do stock investors care about corporate sustainability – Evidence from event study, „Journal of Business Ethics”, vol. 99.
Google Scholar
Cohen J., Holder-Webb L., Nath L., Wood D., 2011, Retail investors’ perceptions of the decision-usefulness of economic performance, governance, and corporate social responsibility disclosures, „Behavioral Research in Accounting”, vol. 23(1).
Google Scholar
Consolandi C., Jaiswal-Dale A., Poggiani E. & Vercelli A., 2009, Global standards and ethical stock indexes: The case of the Dow Jones sustainability Stoxx index, „Journal of Business
Google Scholar
Ethics”, vol. 87.
Google Scholar
Cruise S., 2011, Investors demand improved sustainability reporting,http://www.reuters.com/article/2011/02/21/investorssustainability–idUSLDE71K0W120110221> (Reuters February 21).
Google Scholar
GRI R&D report, 2010, Carrots and Sticks – Promoting transparency and sustainability, An update on trends and voluntary and mandatory approaches to sustainability reporting.
Google Scholar
Heal G., 2005, Corporate Social Responsibility: An Economic and Financial Framework, „Geneva Papers”, vol. 30.
Google Scholar
Kramer L. A., 2001, Alternative methods for robust analysis in event study applications, [in:] Cheng-Few Lee (ed.), „Advances in Investment Analysis and Portfolio Management”, vol. 8, (Elsevier: NorthHolland).
Google Scholar
Ortas E., Moneva J. M., Salvador M., 2010, Conditional volatility in sustainable and traditional stock exchange indexes: Analysis of the Spanish market, „Journal of Globalization, Competitiveness and Governability”, Georgetown University – Universia, vol. 4, no. 2.
Google Scholar
Porter M. E., Kramer M. R., 2006, Strategy and society: The link between competitive advantage and corporate social responsibility, „Harvard Business Review”, vol. 84.
Google Scholar
Renneboog L., Horst J. T., Zhang C, 2008b, The price of ethics and stakeholder governance: Evidence from socially responsible mutual funds, „Journal of Corporate Finance”, vol. 14.
Google Scholar
Renneboog L., Horst J. T., Zhang C., 2008a, Socially Responsible Investments: Institutional Aspects,
Google Scholar
Performance, and Investor Behavior, „Journal of Banking and Finance”, vol. 32.
Google Scholar
Report of USSIF 2013, The Forum for Sustainable and Responsible Investment.
Google Scholar
SAM and PwC, 2010, The Sustainability Year Book 2010, available at www.samgroup.com.
Google Scholar
Telle K., 2006, „It Pays to be Green” – a Premature Conclusion?, „Environmental and Resource Economics”, vol. 35.
Google Scholar
UNPRI, 2011, 5 Years of PRI, Annual Report of the PRI Initiative, available at: www.Unpri.org./publications/annual_report2011/pdf.
Google Scholar
Ziegler A., Schröder M., 2010, What Determines the Inclusion in a Sustainability Stock Index? A Panel Data Analysis for European Firms, „Ecological Economics”, vol. 69.
Google Scholar
