Sustainability stock exchange indexes and investor expectations: Multivariate evidence from DJS']JSI-Stoxx

This research sets out to assess the market reaction to events related to inclusion in and exclusion from the Dow Jones Sustainability Stoxx Index, which are associated with good and bad levels of Corporate Social Performance. The present work introduces a new effect -non-exclusion of the index- which reflects a corporate effort on maintaining higher levels of sustainability. An event study approach is applied with the aim of assessing market reactions to the announcement of changes in the index composition and the effective release to the market of the new sustainable equity index for an annual period. A novelty of this research is the use of a Multivariate Regression Model, with the purpose of mitigating some limitations identified in previous studies when "event clustering" is observed. The empirical analysis is focused on five years sliding window (2003-2007), a period with a relevant increase of the Socially Responsible Investment worldwide.