Department Honors Thesis
The concept of socially responsible investing (SRI) has evolved into a mainstream strategy for investments. Investors who place value on sustainability use SRI strategies to make investment decisions. Companies send a signal to stakeholders, including investors, that they are sustainability leaders by being recognized as a member of a sustainability index. The purpose of this paper is to analyze the impact of the announcement that a company is added to, removed from, or remaining on the Dow Jones North America Sustainability Index (DJSI NA) on its stock price. An event study is used to measure the impact of the announcement by analyzing the abnormal stock returns over a 12-year period. The results indicate that a deletion of a company from the DJSI NA has a negative and statistically significant temporary impact on its stock price. Also, the addition of a company to the DJSI NA has a positive and statistically significant temporary impact on its stock price. However, excluding the inaugural year of the DJSI NA, only deletions from the index have a statistically significant impact on stock price.
Hayward, Lauren, "Does the Stock Market Value Inclusion on a Sustainability Index? An Event Study Using the Dow Jones Sustainability North America Index" (2018). Economics Department Student Scholarship. 3.