Event Index

How do stock markets react to the inclusion of companies in sustainability indexes? An event study analysis

Duration: October 2012 until September 2013

Project coordination and realization: University of Kassel, Chair of Empirical Economic Research

Funding institution: Deutsche Bundesbank

Summary: The objective of this study was to examine to what extent the inclusion of companies into a sustainability stock index affects the companies’ financial performance. In order to be able to identify causal effects, event study approaches, which are usually applied to investigate the impact of company-specific events (i.e. new available information on a company) on average stock returns, were used for the empirical analyses. In contrast to previous studies, not only short-term, but also long-term event studies were applied, which refer to significantly longer time periods of several months or even years (i.e. longer so-called event windows). Moreover, the project considers not only one single stock market, but conducts an international analysis.

Publications und working papers:

Gutsche, Gunnar, Moritz König, and Andreas Ziegler (2020), Does the stock market reward CSR? An international long-term event study

Contact: Dr. Gunnar Gutsche (gunnar.gutsche@uni-kassel.de)