Influence of the Inclusion and the Deletion from the DJSI on Firms' Stock Returns: Regional Aspect

Student: Primov Muslimbek

Educational Programme: Strategic Corporate Finance (Master)

Final Grade: 7

Year of Graduation: 2017

This article empirically explores investors’ response to firm sustainability efforts as evidenced by inclusion or exclusion from the regional Dow Jones Sustainability Index (DJSI) using the event study method. The DJSI selection process is complicated and multidimensional and accounts for almost all aspects of the Corporate Sustainability Performance measures. Hypotheses about neutrality of the inclusions into the index and non-symmetric approach for exclusions are considered here. Moreover, some facts of firms from different regions experiencing different stock returns changes have been observed.

Full text (added May 15, 2017)

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