Chatterji and Mitchell (2017)

Chatterji, Aaron, and Will Mitchell. “Do investors actually value sustainability? New evidence from investor reactions to the Dow Jones Sustainability Index (DJSI)” Strategic Management Journal, first published December, 2017.

From the authors’ abstract: “[We conduct] a large‐scale longitudinal financial event study of the first global sustainability index, DJSI World. We examine investor reactions to firms from 27 countries over 17 years that are added, deleted, or continue on the index. We find that once relevant controls and comparisons to observationally equivalent firms beyond the index are included, DJSI events have only limited significance and/or materiality.”

Link: https://onlinelibrary.wiley.com/doi/abs/10.1002/smj.2752