Sustainability membership and stock price: An empirical study using the Morningstar-SRI Index

Miwa Nakai, Keiko Yamaguchi, Kenji Takeuchi

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

This article investigates how investors evaluate a membership of sustainability index. By using the data on the Morningstar Socially Responsible Investment Index from 2003 to 2010, we estimate the impact of inclusion on and exclusion from the Index on the stock price. Result shows that the inclusion on the index was evaluated significantly positively, while the removal from the index did not lead to a significant drop in share prices. We also found that the average cumulative abnormal returns were negative in the earlier years but positive in later years. This could be due to change in appreciation of the concept of corporate social responsibility by investors throughout the years.

Original languageEnglish
Pages (from-to)71-77
Number of pages7
JournalApplied Financial Economics
Volume23
Issue number1
DOIs
Publication statusPublished - Jan 2013

Fingerprint

Empirical study
Sustainability
Stock prices
Investors
Inclusion
Sustainability index
Share prices
Exclusion
Corporate Social Responsibility
Cumulative abnormal return
Socially responsible investment

Keywords

  • event study
  • Morningstar-SRI Index
  • stock price
  • sustainability membership

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Sustainability membership and stock price : An empirical study using the Morningstar-SRI Index. / Nakai, Miwa; Yamaguchi, Keiko; Takeuchi, Kenji.

In: Applied Financial Economics, Vol. 23, No. 1, 01.2013, p. 71-77.

Research output: Contribution to journalArticle

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