메뉴 건너뛰기




Volumn 99, Issue 2, 2011, Pages 145-165

Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study

Author keywords

Characteristic based benchmark model; Corporate sustainability; Dow Jones Sustainability World Index; Event study

Indexed keywords


EID: 79952706065     PISSN: 01674544     EISSN: 15730697     Source Type: Journal    
DOI: 10.1007/s10551-010-0646-3     Document Type: Article
Times cited : (148)

References (38)
  • 1
    • 64449088858 scopus 로고    scopus 로고
    • Sample Selection and Event Study Estimation
    • Ahern, Kenneth R., 2009, "Sample Selection and Event Study Estimation", Journal of Empirical Finance 16(3), pp. 466 - 482.
    • (2009) Journal of Empirical Finance , vol.16 , Issue.3 , pp. 466-482
    • Ahern, K.R.1
  • 2
    • 84974487256 scopus 로고
    • Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List
    • Beneish, Messod D., and John C. Gardner, 1995, "Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List", The Journal of Financial and Quantitative Analysis 30(1), 135-157.
    • (1995) The Journal of Financial and Quantitative Analysis , vol.30 , Issue.1 , pp. 135-157
    • Beneish, M.D.1    Gardner, J.C.2
  • 4
    • 10644277503 scopus 로고
    • Event Study Methodology Under Conditions of Event Induced Variance
    • Boehmer, Ekkehart, Jim Musumeci, and Annette. B. Poulsen, 1991, "Event study methodology under conditions of event induced variance", Journal of Financial Economics 30, 253-272.
    • (1991) Journal of Financial Economics , vol.30 , pp. 253-272
    • Boehmer, E.1    Musumeci, J.2    Poulsen, A.B.3
  • 5
    • 2742552822 scopus 로고
    • Anomalies in Security Returns and the Specification of the Market Model
    • Brown, S. J., C. B. Barry (1984). Anomalies in Security Returns and the Specification of the Market Model. The Journal of Finance 39(3), 807-815.
    • (1984) The Journal of Finance , vol.39 , Issue.3 , pp. 807-815
    • Brown, S.J.1    Barry, C.B.2
  • 6
    • 12344277995 scopus 로고    scopus 로고
    • Trading Volume, Information Asymmetry, and Timing Information
    • Chae, Joon 2005 "Trading volume, Information Asymmetry, and Timing Information". The Journal of Finance 60(1), 413-442.
    • (2005) The Journal of Finance , vol.60 , Issue.1 , pp. 413-442
    • Chae, J.1
  • 7
    • 4344587739 scopus 로고    scopus 로고
    • The Price Response to S&P 500 Index Inclusions and Exclusions: Evidence of Asymmetry and a New Explanation
    • Chen, Honghui, Gregory Noronha, and Vijay Singal, 2004, "The Price Response to S& P 500 Index Inclusions and Exclusions: Evidence of Asymmetry and a New Explanation", The Journal of Finance 59 (4), 1901-1929.
    • (2004) The Journal of Finance , vol.59 , Issue.4 , pp. 1901-1929
    • Chen, H.1    Noronha, G.2    Singal, V.3
  • 8
    • 67349162088 scopus 로고    scopus 로고
    • Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index
    • Consolandi, Costanza, Ameeta Jaiswal-Dale, Elisa Poggiani and Alessandro Vercelli, 2009, "Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index", Journal of Business Ethics 87: 185-197.
    • (2009) Journal of Business Ethics , vol.87 , pp. 185-197
    • Consolandi, C.1    Jaiswal-Dale, A.2    Poggiani, E.3    Vercelli, A.4
  • 9
    • 21144484222 scopus 로고
    • The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns
    • Corrado, Charles J. and Terry L. Zivney, 1992, "The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns", The Journal of Financial and Quantitative Analysis 27(3), 465-478.
    • (1992) The Journal of Financial and Quantitative Analysis , vol.27 , Issue.3 , pp. 465-478
    • Corrado, C.J.1    Zivney, T.L.2
  • 10
    • 0039561990 scopus 로고    scopus 로고
    • Measuring Mutual Fund Performance with Characteristic-Based Benchmarks
    • Daniel, Kent D., Mark Grinblatt, Sheridan Titman, Russ Wermers (1997) "Measuring Mutual Fund Performance with Characteristic-based Benchmarks". Journal of Finance 52, 1035-1058.
    • (1997) Journal of Finance , vol.52 , pp. 1035-1058
    • Daniel, K.D.1    Grinblatt, M.2    Titman, S.3    Wermers, R.4
  • 11
    • 0002014264 scopus 로고    scopus 로고
    • Evidence on the Characteristics of Cross-Sectional Variation in Common Stock Returns
    • Daniel, Kent D., Sheridan Titman, 1997, "Evidence on the Characteristics of Cross-sectional Variation in Common Stock Returns". Journal of Finance 52, 1-33.
    • (1997) Journal of Finance , vol.52 , pp. 1-33
    • Daniel, K.D.1    Titman, S.2
  • 13
    • 0001909759 scopus 로고
    • Changes in the Standard and Poor's 500 List
    • Dhillon, U., and H. Johnson, 1991, Changes in the Standard and Poor's 500 List. The Journal of Business 64(1), 75-85.
    • (1991) The Journal of Business , vol.64 , Issue.1 , pp. 75-85
    • Dhillon, U.1    Johnson, H.2
  • 15
    • 79952703771 scopus 로고    scopus 로고
    • Swedish Institute for Financial Research Working Paper, Stockholm, Sweden
    • Hacibedel, B.: 2008, 'Index Changes in Emerging Markets', Swedish Institute for Financial Research Working Paper, Stockholm, Sweden.
    • (2008) Index Changes in Emerging Markets
    • Hacibedel, B.1
  • 16
    • 33747048859 scopus 로고    scopus 로고
    • Price and Volume Effects Associated with a Change in the Nikkei 225 Index List: New Evidence from the Big Change on April 2000
    • Hanaeda, Hidieki, Toshio Sarita 2003 "Price and Volume Effects Associated with a Change in the Nikkei 225 Index List: new evidence from the big change on April 2000". International Finance Review 4, 199-225.
    • (2003) International Finance Review , vol.4 , pp. 199-225
    • Hanaeda, H.1    Sarita, T.2
  • 17
    • 84886231184 scopus 로고
    • Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures
    • Harris, Lawrence, Eitan, Gurel 1986 "Price and Volume Effects Associated with Changes in the S& P 500 List: New Evidence for the Existence of Price Pressures". The Journal of Finance 41(4), 815-829.
    • (1986) The Journal of Finance , vol.41 , Issue.4 , pp. 815-829
    • Harris, L.1    Eitan, G.2
  • 18
    • 0037403015 scopus 로고    scopus 로고
    • The Liquidity Effects of Revisions to the S&P 500 Index: An Empirical Analysis
    • Hegde, Shantaram, John McDermott 2003 "The Liquidity effects of Revisions to the S& P 500 Index: An Empirical Analysis". Journal of Financial Markets 6, 413-459.
    • (2003) Journal of Financial Markets , vol.6 , pp. 413-459
    • Hegde, S.1    McDermott, J.2
  • 19
    • 0001854524 scopus 로고
    • The Effect on Stock Price from Inclusion in or Exclusion from S&P 500
    • Jain, Prem 1987 "The effect on stock price from inclusion in or exclusion from S& P 500". Financial Analysts Journal 43(1), 58-65.
    • (1987) Financial Analysts Journal , vol.43 , Issue.1 , pp. 58-65
    • Jain, P.1
  • 22
    • 0040196030 scopus 로고    scopus 로고
    • Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment
    • Kaul, Aditya, Vikas Mehrotra, Randall Morck 2000 "Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment". Journal of Finance, 55(2), 893-913.
    • (2000) Journal of Finance , vol.55 , Issue.2 , pp. 893-913
    • Kaul, A.1    Mehrotra, V.2    Morck, R.3
  • 23
    • 77953596316 scopus 로고    scopus 로고
    • Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective
    • Lee, Darren and Robert Faff, 2009, "Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective", The Financial Review 44: 213-237.
    • (2009) The Financial Review , vol.44 , pp. 213-237
    • Lee, D.1    Faff, R.2
  • 24
    • 11444257065 scopus 로고    scopus 로고
    • Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks
    • Liu, Shinhua, 2000, "Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks", International Review of Finance 1(4), 245-267.
    • (2000) International Review of Finance , vol.1 , Issue.4 , pp. 245-267
    • Liu, S.1
  • 25
    • 33947265992 scopus 로고    scopus 로고
    • Is Corporate Sustainability a Value-Increasing Strategy for Business?
    • Lo Shih-Fang, Her-Jiun, Sheu, 2007, "Is corporate sustainability a value-increasing strategy for business?". Corporate Governance 15(2), 345-358.
    • (2007) Corporate Governance , vol.15 , Issue.2 , pp. 345-358
    • Lo, S.-F.1    Sheu, H.-J.2
  • 26
    • 34548862885 scopus 로고    scopus 로고
    • Sustainable Development and Corporate Performance: A Study Based on the Dow Jones Sustainability Index
    • Lopez, Victoria M., Arminda Garcia, and Lazaro Rodriguez, 2007, "Sustainable Development and Corporate Performance: a Study Based on the Dow Jones Sustainability Index", Journal of Business Ethics 75, 285-300.
    • (2007) Journal of Business Ethics , vol.75 , pp. 285-300
    • Lopez, V.M.1    Garcia, A.2    Rodriguez, L.3
  • 27
    • 0000177414 scopus 로고    scopus 로고
    • New Evidence on Stock Price Effects Associated with Changes in the S& P 500
    • Lynch, A. and R. Mendenhall: 1997, 'New Evidence on Stock Price Effects Associated with Changes in the S& P 500', Journal of Business70, 351-384.
    • (1997) Journal of Business , vol.7 , pp. 351-384
    • Lynch, A.1    Mendenhall, R.2
  • 28
    • 17644411501 scopus 로고    scopus 로고
    • The Effect of Inclusions to or Exclusions from the TSE 300 Index on Canadian Share Prices
    • Masse, Isidore, Robert Hanrahan, Joseph Kushner and Felice Martinello, 2000, "The Effect of Inclusions To or Exclusions From the TSE 300 Index on Canadian Share Prices", Canadian Journal of Economics 33(2), 341-360.
    • (2000) Canadian Journal of Economics , vol.33 , Issue.2 , pp. 341-360
    • Masse, I.1    Hanrahan, R.2    Kushner, J.3    Martinello, F.4
  • 29
    • 84977707554 scopus 로고
    • A Simple Model of Capital Market Equilibrium with Incomplete Information
    • Merton, Robert C (1987) "A Simple Model of Capital Market Equilibrium with Incomplete Information". The Journal of Finance 42(3), 483-510.
    • (1987) The Journal of Finance , vol.42 , Issue.3 , pp. 483-510
    • Merton, R.C.1
  • 30
    • 49449101841 scopus 로고    scopus 로고
    • Corporate Social Responsibility and Corporate Sustainability: Separate Pasts, Common Futures
    • Montiel, Ivan, 2008, "Corporate Social Responsibility and Corporate Sustainability: Separate Pasts, Common Futures", Organization & Environment 21(3), 245-269.
    • (2008) Organization & Environment , vol.21 , Issue.3 , pp. 245-269
    • Montiel, I.1
  • 31
    • 0042090748 scopus 로고    scopus 로고
    • Corporate Social and Financial Performance
    • Orlitzky, Marc, Frank L. Schmidt, and Sara L. Rynes, 2003, "Corporate Social and Financial Performance", Organization Studies 24(3), 403-441.
    • (2003) Organization Studies , vol.24 , Issue.3 , pp. 403-441
    • Orlitzky, M.1    Schmidt, F.L.2    Rynes, S.L.3
  • 33
    • 0000027140 scopus 로고
    • Corporate Forecasts of Earnings per Share and Stock Price Behavior: Empirical Tests
    • Patell, James, 1976, "Corporate forecasts of earnings per share and stock price behavior: Empirical tests", Journal of Accounting Research 14(1), 246-276.
    • (1976) Journal of Accounting Research , vol.14 , Issue.1 , pp. 246-276
    • Patell, J.1
  • 34
    • 84975960756 scopus 로고
    • Stock Exchange Listings, Firm Value, and Security Market Efficiency: The impact of NASDAQ
    • Sanger, Gary C. and John J. McConnell, 1986, "Stock Exchange Listings, Firm Value, and Security Market Efficiency: The impact of NASDAQ", Journal of Financial and Quantitative Analysis 21(1), 1-25.
    • (1986) Journal of Financial and Quantitative Analysis , vol.21 , Issue.1 , pp. 1-25
    • Sanger, G.C.1    McConnell, J.J.2
  • 35
    • 0000183976 scopus 로고
    • Do Demand Curves for Stocks Slope Down?
    • Shleifer, Andrei (1986) "Do Demand Curves for Stocks Slope Down?". Journal of Finance 41(3), 579-590.
    • (1986) Journal of Finance , vol.41 , Issue.3 , pp. 579-590
    • Shleifer, A.1
  • 37
    • 0346671050 scopus 로고    scopus 로고
    • Concepts and Definitions of CSR and Corporate Sustainability: Between Agency and Communion
    • van Marrewijk, Marcel, 2003, "Concepts and Definitions of CSR and Corporate Sustainability: Between Agency and Communion", Journal of Business Ethics 44: 95-105.
    • (2003) Journal of Business Ethics , vol.44 , pp. 95-105
    • van Marrewijk, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.