Durand, Paugam, and Stolowy (2019)

Durand, Rodolphe, Luc Paugam, and Hervé Stolowy.  “Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR Visibility.”  Strategic Management Journal, forthcoming (2019).

From the authors' abstract:  "We use DJSI events to capture variations in firms’ CSR visibility, holding CSR-activism constant by restricting our analyses to CSR-equivalent firms. First, we find similar results on stock price (i.e., no impact) and on trading volumes. Second, because professional market participants pay more attention to CSR-oriented firms and use visible cues such as DJSI- events, we study and find that additions to DJSI lead to more analysts following a firm, and that continuations on the DJSI lead to an increase in equity being held by long-term investors.. "

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3364141