Do investors respond to changes in the composition of sustainability indices?

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dc.contributor.authorSławik A
dc.contributor.authorBialkowski, Jedrzej
dc.date.accessioned2022-04-14T02:45:54Z
dc.date.available2022-04-14T02:45:54Z
dc.date.issued2021en
dc.date.updated2021-11-23T11:58:41Z
dc.description.abstractThis paper investigates the price effects associated with changes in the composition of the first sustainability index in Central and Eastern Europe – the RESPECT Index – over its lifetime, i.e. 2009–2019, using an event study technique and the advanced market model for the calculation of abnormal returns. The results show a strong negative reaction by the stock prices of companies that are either included in or excluded from a sustainability index. The effect is short-lived but statistically significant in some asymmetric event windows. The study contributes to the discussion of how the emerging capital markets perceive the value of socially responsible activities undertaken by firms. The research indicates that events such as addition to and removal from a sustainability index (as well as announcements thereof) create a trading opportunity. Additionally, it suggests that investors at the Warsaw Stock Exchange – at least in the short run – tend to sell stocks of companies formally recognised as socially responsible.en
dc.identifier.citationBialkowski J, Sławik A (2021). Do investors respond to changes in the composition of sustainability indices?. Bank i Kredyt. 52(4). 319-338.en
dc.identifier.issn0137-5520
dc.identifier.urihttps://hdl.handle.net/10092/103557
dc.language.isoenen
dc.rightsAll rights reserved unless otherwise stateden
dc.rights.urihttp://hdl.handle.net/10092/17651en
dc.subjectemerging marketsen
dc.subjectindex effecten
dc.subjectsustainable and responsible investing (SRI)en
dc.subjectsustainable financeen
dc.subjectsustainability indicesen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk managementen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3501 - Accounting, auditing and accountability::350107 - Sustainability accounting and reportingen
dc.subject.anzsrcFields of Research::50 - Philosophy and religious studies::5001 - Applied ethics::500102 - Business ethicsen
dc.titleDo investors respond to changes in the composition of sustainability indices?en
dc.typeJournal Articleen
uc.collegeService Unit
uc.departmentDepartment of Economics and Finance
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