Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms

Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms

This paper empirically analyzes the effect of the inclusion of German corporations in the Dow Jones STOXX Sustainability Index (DJSI STOXX) and the Dow Jones Sustainability World Index (DJSI World) on stock performance. In order to receive robust estimation results, we apply an event study approach...

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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 30-2011)
Autoren: Oberndorfer, Ulrich, Wagner, Marcus, Ziegler, Andreas
Format: Arbeit
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2011
Schlagworte:
Corporate financial performance
Wirtschaft
Three-factor model
Sustainability stock indexes
Event study
GARCH model
Economics
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