The Relation between Sustainability Performance and Stock Market Returns: An Empirical Analysis of the Dow Jones Sustainability Index Europe
Bibliographic record
Abstract
This paper investigates the relation between corporate financial performance (CFP) and corporate sustainability performance (CSP). This is done by first analyzing a sample of European stocks that were added to or deleted from the Dow Jones Sustainability Europe Index (DJSI Europe) over the period 2009-2013, and second by analyzing a sample of European stocks that were recognized as industry group leaders in CSP by the DJSI Europe over the same period. The impacts are measured in terms of (abnormal) stock returns. For the first analysis no strong evidence could be found that the announcement of the inclusion and exclusion events has any significant impact on stock return. However, on the day of change (CD) and in the period following CD, index inclusion (exclusion) stocks experience a significant but temporary increase (decrease) in stock return. These results seem to support Harris and Eitan’s (1986) price pressure hypothesis, which postulates that event announcement does not carry information and any shift in demand and hence the corresponding price change is temporary. From the second analysis, on industry group leaders, it can be concluded that the market rewards firms with high CSP. In the period after the day of change, industry group leader stocks experience a permanent and significant positive growth in stock returns. This conclusion can be supported by the resource based perspective, which posits that firms capable of investing heavily in CSP have greater underlying resources which in turn should produce higher financial performance (Alexander & Bucholz, 1978; Waddock & Graves, 1997; Clarkson et al., 2006).
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".