INVESTORSʼ REACTIONS FOR SUSTAINABILITY INDEX INCLUSION – IS CSR A GOOD NEWS?

Authors

  • Karolina Daszyńska-Żygadło Wrocław University of Economics
  • Bożena Ryszawska Wrocław University of Economics
  • Tomasz Słoński Wrocław University of Economics
  • Bartosz Marek Zawadzki Wrocław University of Economics

Keywords:

CSR, Sustainability, ESG, event study

Abstract

This article presents the problem of measuring the impact of information disclosure about
CSR activities on stock performance. The research was performed on two indexes which represent
Pan-European capital market and local Central and Eastern European capital market. Different
market characteristics could limit the application of results presented in numerous studies
performed on well-established markets. The information with relatively strong signal for investor
is the inclusion to CSR index. In order to measure the investors’ reaction the event study analysis
was performed. It was proved that the short–term reaction was very similar on each market. The
reaction to announcement of CSR index inclusion was slightly negative, but this effect was offset
by the opposite reaction in the day of inclusion. The total reaction in the seven days event window
was close to zero. However, the long-term reaction measured in 30 trading days window was
negative for two markets, but the local market investors show more discontent.

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Author Biographies

Karolina Daszyńska-Żygadło, Wrocław University of Economics

Department of Public and International Finance

PhD, Assistant Professor

Bożena Ryszawska, Wrocław University of Economics

Department of Public and International Finance

PhD, Assistant Professor

Tomasz Słoński, Wrocław University of Economics

Department of Public and International Finance

PhD, Head of Department

Bartosz Marek Zawadzki, Wrocław University of Economics

Department of Public and International Finance

MA, PhD Student

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Published

2014-02-19

How to Cite

Daszyńska-Żygadło, K., Ryszawska, B., Słoński, T., & Zawadzki, B. M. (2014). INVESTORSʼ REACTIONS FOR SUSTAINABILITY INDEX INCLUSION – IS CSR A GOOD NEWS?. Acta Universitatis Lodziensis. Folia Oeconomica, 2(300). Retrieved from https://www.czasopisma.uni.lodz.pl/foe/article/view/121

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Section

Finance