Does the stock market value corporate sustainability?
: an event study of changes in the composition of the Dow Jones Sustainability Index World

  • Matthias Elmar Müller (Student)

Student thesis: Master's Thesis


This dissertation explores the still ambiguous relationship between corporate sustainability performance and corporate financial performance by empirically analysing the financial impact of events associated with additions to and removals from the first global sustainability index, the Dow Jones Sustainability Index World. Using a longitudinal event study approach based on the market return model and the constant mean return model, the market response to corporate stocks from 26 countries is examined over a ten-year period between 2010 and 2019. Given the rapid growth of socially responsible investing and the advent of stakeholder theory and the resource-based view in academia and practice, we hypothesize that DJSI inclusions (exclusions) constitute a gain (loss) of a sustainability leadership position and are valued (penalized) by investors.To draw concrete conclusions regarding the financial impact of sustainability performance, we underline the importance of precise examination of the event study methodology, qualified significance tests, and global longitudinal samples. A novelty of this research is the exact identification of the event days when the news became public (actual day) besides the examination of the announcement day and the day of change. Our results, measured in terms of cumulative average abnormal returns, suggest that added stocks experience a significant temporary increase around the actual day, while we find a delayed significant negative impact for deletions following the change day. We also detect that investors’ perception of additions has evolved positively over time. The findings could indicate that corporate sustainability is a relevant criterion in asset allocation.
Date of Award14 Oct 2020
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorGeraldo Cerqueiro (Supervisor)


  • Event study
  • Corporate sustainability performance (CSP)
  • Dow Jones Sustainability Index (DJSI) World
  • Financial impact


  • Mestrado em Finanças

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