Do investors value the inclusion in sustainability indices? - Evidence from an event study based on the FTSE4Good Europe Index
Publikation: Beiträge in Sammelwerken › Aufsätze in Konferenzbänden › Forschung › begutachtet
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Do investors value the inclusion in sustainability indices? - Evidence from an event study based on the FTSE4Good Europe Index. / Bornhöft, Sophie C.; Schuster, Mario; Teutrine, Constanze et al.
CSR Communication Conference 2022: Proceedings; The 6th International CSR Communication Conference; Leuphana University of Lüneburg, Lüneburg September 14-16, 2022. Hrsg. / Hannah Trittin-Ulbrich; Dennis Schoeneborn; Matthias Wenzel; Urša Golob; Klement Podnar. 1. Aufl. Ljķbljani : University of Ljubljana, 2022. S. 145-149 (CSR Communication Conference Proceedings), (Marketing & odnosi z javnostmi).Publikation: Beiträge in Sammelwerken › Aufsätze in Konferenzbänden › Forschung › begutachtet
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TY - CHAP
T1 - Do investors value the inclusion in sustainability indices? - Evidence from an event study based on the FTSE4Good Europe Index
AU - Bornhöft, Sophie C.
AU - Schuster, Mario
AU - Teutrine, Constanze
AU - Lueg, Rainer
N1 - Conference code: 6
PY - 2022
Y1 - 2022
N2 - Previous assessment of the stock market reation to the accouncement of firms' inclusion European sustainability indices revealed inconclusive results regarding investor reactions. While previous research is largely based on data from the late 1990s and early 2000s, the value of sustainable assets under management has increased sharply within the last decades. Counteracting the divergence of practice and research, the substance of this research lies in answering the question of whether investors appreciate firms' inclusion in a renowned European sustainability index in current times. Performing an event study based on a sample of 77 additions in the time period 2018-2021, the study examines the stock market reaction to firms' inclusion in the FTSE4Good Europe Index based on signaling theory. We analyze the significance of abnormal returns using three event windows: the pre-announcement period, the announcement period, and the effective period. We find that in the time period around the announcement date [AD 0, AD +5], stock returns of firms being added to the index positively and significantly increase. The results of the study, therefore, suggest that the addition to the FTSE4Good Europe Index is a significant criterion for asset allocation activities
AB - Previous assessment of the stock market reation to the accouncement of firms' inclusion European sustainability indices revealed inconclusive results regarding investor reactions. While previous research is largely based on data from the late 1990s and early 2000s, the value of sustainable assets under management has increased sharply within the last decades. Counteracting the divergence of practice and research, the substance of this research lies in answering the question of whether investors appreciate firms' inclusion in a renowned European sustainability index in current times. Performing an event study based on a sample of 77 additions in the time period 2018-2021, the study examines the stock market reaction to firms' inclusion in the FTSE4Good Europe Index based on signaling theory. We analyze the significance of abnormal returns using three event windows: the pre-announcement period, the announcement period, and the effective period. We find that in the time period around the announcement date [AD 0, AD +5], stock returns of firms being added to the index positively and significantly increase. The results of the study, therefore, suggest that the addition to the FTSE4Good Europe Index is a significant criterion for asset allocation activities
KW - Management studies
UR - https://plus.cobiss.net/cobiss/si/sl/bib/NUK/126377475
M3 - Article in conference proceedings
T3 - CSR Communication Conference Proceedings
SP - 145
EP - 149
BT - CSR Communication Conference 2022
A2 - Trittin-Ulbrich, Hannah
A2 - Schoeneborn, Dennis
A2 - Wenzel, Matthias
A2 - Golob, Urša
A2 - Podnar, Klement
PB - University of Ljubljana
CY - Ljķbljani
T2 - Conference - The 6th International CSR Communication Conference - 2022
Y2 - 14 September 2022 through 16 September 2022
ER -