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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Do sustainability indices matter for shareholders? Evidence from the DJSI for Korean firms |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 56 |
| Date | 2021 |
| Abstract Text | This study examines the link between corporate social responsibility and financial performance by using Korean firm inclusions and exclusions from the Dow Jones Sustainability Indices as proxies for good and poor corporate social responsibility. The main results show that investors value sustainability as evidenced by positive and significant cumulative average abnormal returns for additions to the DJSI World and DJSI Asia Pacific. Conversely, investors react negatively to firm exclusions from the DJSIWorld and DJSI Korea, although results remain mostly unsignificant. In the long run, ROA is used as a proxy for firms’ operating performance. Firms added to the DJSI World are associated with better operating performance in the two years following the addition compared to other years, while firms deleted from the DJSI World exhibit lower operating performance in the two years following the deletion. |
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