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dc.contributor.authorCheung, Adrian W.K.
dc.contributor.authorRoca, Eduardo
dc.contributor.editorAkimov, Alexandr
dc.date.accessioned2020-01-16T07:59:36Z
dc.date.available2020-01-16T07:59:36Z
dc.date.issued2010
dc.identifier.issn1836-8123
dc.identifier.otherRePEc:gri:fpaper:finance:201017
dc.identifier.urihttp://hdl.handle.net/10072/390418
dc.description.abstractThis paper analyzes a sample of Australian company stocks that are added to or deleted from the Dow Jones Sustainability World Index in terms of stock return, risks and liquidity. We find evidence that index addition (index deletion) stocks experience significant temporary increase (decrease) in stock return. Liquidity of index addition stocks improves but that of index deletion stocks worsens. Systematic risk shows little change. Index addition stocks experience no change in idiosyncratic risk while index deletion stocks display drastic changes. The overall results suggest that Australian investors value sustainability in a way that is not explained by existing theories relating to index additions and deletions.
dc.format.extent29 pages
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane, Australia
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto29
dc.subject.keywordsM14 - Corporate Culture; Social Responsibility
dc.subject.keywordsG14 - Information and Market Efficiency; Event Studies
dc.subject.keywordsCorporate sustainability
dc.subject.keywordsDow Jones Sustainability World Index
dc.subject.keywordsEvent studies
dc.title2010-17: Is Corporate Sustainability valued by Australian Investors? (Working paper)
dc.typeReport
dc.type.descriptionDiscussion Paper
gro.facultyGriffith Business School
gro.description.notepublicFinance
gro.rights.copyrightCopyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
gro.date.issued2010
gro.hasfulltextFull Text
gro.griffith.authorCheung, Adrian WK.
gro.griffith.authorRoca, Eduardo D.


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