The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context
MetadataShow full item record
We examine the impact on returns, risk and liquidity of stocks in the Asia Pacific markets when included into and deleted from the Dow Jones Sustainability World Index over the period 2002–2010. Using an event study methodology, we test five existing hypotheses and two new ones, called the ‘‘sustainability taste hypothesis’’ and ‘‘sustainability redundancy hypothesis’’, which we developed. Consistent with the ‘‘sustainability redundancy hypothesis’’, we find that both index addition and index deletion stocks experience a significant decline in returns, an increase in trading volume, no change in systematic risk and an increase in idiosyncratic risk. This indicates that sustainability matters to Asia Pacific investors, although in a somewhat negative manner.
Showing items related by title, author, creator and subject.
A comparative analysis of risk factors and stroke risk for Asian and non-Asian men: The Asia Pacific Cohort Studies CollaborationHyun, K.; Huxley, Rachel; Arima, H.; Woo, J.; Lam, T.; Ueshima, H.; Fang, X.; Peters, S.; Jee, S.; Giles, G.; Barzi, F.; Woodward, M. (2013)Background: The risk of stroke is high in men among both Asian and non-Asian populations, despite differences in risk factor profiles; whether risk factors act similarly in these populations is unknown. Aim: To study the ...
Body-mass index and cancer mortality in the Asia-Pacific Cohort Studies Collaboration: Pooled analyses of 424 519 participantsParr, C.; Batty, G.; Lam, T.; Barzi, F.; Fang, X.; Ho, S.; Jee, S.; Ansary-Moghaddam, A.; Jamrozik, K.; Ueshima, H.; Woodward, M.; Huxley, Rachel (2010)Background: Excess bodyweight is an established risk factor for several types of cancer, but there are sparse data from Asian populations, where the proportion of overweight and obese individuals is increasing rapidly and ...
Binns, Colin; Lee, M.; Kagawa, Masaharu; Low, W.; Scott, Jane; Lee, Andy; Zerfas, A.; Maycock, B.; Qiu, L.; Yusuff, A.; Raheem, R.; Hamid, S.; Hokama, T.; Hairi, N.; Lin, J.; Bulgiba, A.; Khoo, E.; Shakya, P.; Dahlui, M.; Karunathilake, I. (2018)Good nutrition for infants, during the first 1000 days from conception, is one of the most important determinants of a healthy long life. Breastfeeding is the most important component of infant nutrition and reduces ...