Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms

Schmidt, Peter Steffen; Oberndorfer, Ulrich; Wagner, Marcus; Ziegler, Andreas (2013). Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms. Journal of environmental economics and management, 66(3), pp. 497-509. Elsevier 10.1016/j.jeem.2013.04.005

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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 (short-term) event study approach that is based on both a modern asset pricing model, namely the three-factor model according to Fama and French [24], and additionally a t-GARCH(1,1) model. Our empirical results suggest that stock markets may penalize the inclusion of a firm in sustainability stock indexes. This finding is mainly driven by a strongly negative effect of the inclusion in the DJSI World. In contrast, we do not find significant average cumulative abnormal returns for the inclusion in the DJSI STOXX. This suggests that the inclusion in a more visible sustainability stock index may have larger negative impacts.

Item Type:

Journal Article (Original Article)


03 Faculty of Business, Economics and Social Sciences > Department of Business Management > Institute of Financial Management

UniBE Contributor:

Schmidt, Peter Steffen


300 Social sciences, sociology & anthropology > 330 Economics








Karin Dolder

Date Deposited:

10 Aug 2017 13:09

Last Modified:

24 Jun 2019 17:27

Publisher DOI:


Uncontrolled Keywords:

Sustainability stock indexes, Corporate financial performance, Event study, Three-factor model, GARCH model




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