Do investors actually value sustainability? New evidence from investor reactions to the Dow Jones Sustainability Index (DJSI)

• 成果类型: Article
• 署名作者: Hawn, Olga; Chatterji, Aaron K.; Mitchell, Will
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Duke University; University of Toronto
• 刊物名称: STRATEGIC MANAGEMENT JOURNAL
• ISSN/ISSBN: 0143-2095
• DOI: 10.1002/smj.2752
• 发表日期: 2018
• 页码: 949-976
• 关键词: CSR; financial event study; Firm value; investors; SPACE; sustainability; time

摘要

Research Summary: Research exploring investor reactions to sustainability has substantial empirical limitations, which we address with a large-scale longitudinal financial event study of the first global sustainability index, DJSI World. We examine investor reactions to firms from 27 countries over 17years that are added, deleted, or continue on the index. We find that once relevant controls and comparisons to observationally equivalent firms beyond the index are included, DJSI events have only limited significance and/or materiality. Nonetheless, investors' valuation of sustainability around the world has evolved over time, involving diminishing reactions to U.S. firms and increasing benefits, particularly of continuation on the index, over time. The study highlights the importance of careful analysis and longitudinal global samples in making inferences about the financial effects of social performance.Managerial Summary: The debate about how investors perceive corporate social responsibility (CSR) predates Milton Friedman's famous statement that the only social responsibility of business is to increase profits. Although extensive research has studied whether sustainability contributes to financial performance, we have yet to understand whether investors believe it pays off. This financial event study of reactions to the addition, continuation, and deletion from DJSI World, the first global sustainability index, shows that investors care little about DJSI announcements. Nonetheless, there is some evidence that global assessments of sustainability are converging and that investors may increasingly be valuing continuation on the DJSI, suggesting that firms may gain at least limited benefits from reliable sustainability activities.