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    Do stock investors value corporate sustainability? Evidence from an event study

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    Fulltext not available
    Authors
    Cheung, Adrian
    Date
    2011
    Type
    Journal Article
    
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    Citation
    Cheung, Adrian Wai Kong. 2011. Do stock investors value corporate sustainability? Evidence from an event study. Journal of Business Ethics. 99 (2): pp. 145-165.
    Source Title
    Journal of Business Ethics
    DOI
    10.1007/s10551-010-0646-3
    ISSN
    01674544
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/45995
    Collection
    • Curtin Research Publications
    Abstract

    This paper analyzes the impacts of index inclusions and exclusions on corporate sustainable firms by studying a sample of US stocks that are added to or deleted from the Dow Jones Sustainability World Index over the period 2002–2008. The impacts are measured in terms of stock return, risk and liquidity. We cannot find any strong evidence that announcement per se has any significant impact on stock return and risk. However, on the day of change, index inclusion (exclusion) stocks experience a significant but temporary increase (decrease) in stock return. Liquidity deteriorates after the announcement day and bounces back significantly near the day of change. Systematic risk shows little change after announcements. But, idiosyncratic risk is higher after announcements. The overall results support Harris and Eitan’s (The Journal of Finance 41(4), 815–829, 1986) price pressure hypothesis, which posits that event announcement does not carry information and any shift in demand (and hence the corresponding price change and liquidity change) is temporary.

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