Auswahl der wissenschaftlichen Literatur zum Thema „Dow Jones Sustainability Europe Index (DJSEUR)“

This paper empirically analyses the performance of Socially Responsible Investments (SRI) by applying an asymmetric BEKK GARCH model which estimates conditional systematic risk and varying risk premiums. We evaluate the performance of SRI from an international perspective, comparing sustainable indexes with conventional indexes, and we apply our model to three regions: the USA, Europe, and Asia Pacific. We respectively compare the Dow Jones Sustainability United States Index, the Dow Jones Sustainability Europe Index, and the Dow Jones Sustainability Asia/Pacific Index with conventional indexes, namely the Dow Jones Industrial Average, the Dow Jones Europe Index, and the Dow Jones Asia/Pacific Index. Our model estimations are based on weekly data from January 2004 to November 2013. Our results show that sustainable indexes exhibit lower risk premiums than conventional ones. However each of the three regions studied has its own specificity in terms of investor behavior toward SRI, including the impact of the subprime mortgage crisis.

The paper focuses on the sustainability stock market indices and investigates whether there is evidence of synchronization between the price return provided by sustainability indices calculated for various geographic regions. Due to data availability constraints, the analysis had been performed only for the Dow Jones Sustainability Indices family, which comprises six types of indices. It had been considered the daily price return time series recorded in the last 10 years (November 30, 2010 – July 26, 2019) by each of the six Dow Jones Sustainability Indices, and it had been applied to the Principal Components Analysis method. Our findings confirm the initial research assumption that sustainability indices build for certain geographical areas are more correlated and hence more synchronized than others. More specifically, sustainability indices which include companies from Europe, Japan, US, World developed countries and World best-in-class exhibit correlated price returns, and hence are synchronized while DJSI for emerging countries is far apart. Therefore, the first five categories of indices may act as a substitute for each other. A second conclusion is that both emerging markets' sustainability index and any of the five indices may be included in investors’ portfolios for purposes related to risk diversification and hedging.

Purpose The purpose of this paper is to ascertain whether weather variables can explain the stock return reaction on the Dow Jones Sustainability Europe Index by employing a number of macroeconomic indicators as control variables. Design/methodology/approach The authors incorporate the generalized autogressive conditional heteroskeasticity model in methodology for the period August 26, 2009 to May 30, 2014 using daily data. Findings The empirical results indicate that not only do changes in humidity and wind levels seem to affect positively the European stock market but changes in returns oil and gold prices as well. However, the results show that the volatility of the US dollar/Yen exchange rate and ten-year bond value exerts significant negative impact on companies’ stock returns. Originality/value This study adds to the international literature by documenting the impact of weather variables on socially responsible companies.

AbstractThe stakeholder salience framework has become, over the past two decades, a tool often used to identify, asses and prioritize stakeholders and has demonstrated considerable theoretical and managerial implications. The objective of this paper is to determine to what extent stakeholder salience influences how different stakeholder categories are represented in the sustainability reports of entities from energy sector. In this respect, an interpretative content-based analysis of the social and environmental information disclosed by entities is used. The sample encompasses six energy entities that are comprised of Dow Jones Sustainability Europe Index (DJSI) constituent’s list on September 19, 2016. The results highlight that stakeholders who hold power have a high score of salience, being followed by those who possess legitimacy and then by those who possess urgency. The obtained results suggest the need to continue to focus on the normative theory of the stakeholders. The results also highlight that there is a link between the stakeholder salience, on the one hand, and the number and type of attributes held by each category of stakeholders, on the other hand. Stakeholders who hold power have a high score of salience, being followed by those who possess legitimacy and by those who possess urgency.

Background: The increase in development and welfare that has been achieved in recent decades has led to a deterioration of the planet. Increased awareness on this matter has led to a concern to become more sustainable, both on an individual level and firm level. The concept of sustainable development integrates consideration to economic growth, protection of the environment, and social justice. Firms have sustainability regulations they must follow to be allowed to operate, but when they go beyond their economic interests it is referred to as corporate social responsibility (CSR). Certain indexes select which firms to include based on their CSR performance. In this way, firms can use CSR to build a reputation. Objectives: The purpose of this study is to investigate if inclusion in or exclusion from Dow Jones Sustainability Europe (DJSEUR) index has a significant effect on a firm’s stock price. The sub-purpose of this study is to investigate if different sector characteristics significantly impact the investors’ response to inclusion and exclusion. The study is conducted on firms in the European region. Methods: The event study methodology was used to examine abnormal returns associated with inclusion in and exclusion from a sustainability stock index. Further, a linear regression was developed to distinguish if sector affiliation affects the reactions of investors when firms are included or excluded from the index. This study uses stock data for firms over a period of time from 2014-2019. Results: The results suggest no significant increase in CAAR from being included in the index. However, exclusion from the index significantly affected CAAR negatively on the day of the announcement. Five sectors experienced a significantly different CAAR from the event of exclusion from the index. Only the result from one sector indicated to be significantly affected by the event of inclusion in the index. Conclusions: Our results provide evidence that being removed from the DJSEUR results in a decrease in a firm’s share price, suggesting that the European stock market penalizes firms for not obtaining a sufficiently high level of CSR. But investors do not financially reward firms for inclusion in the DJSEUR index. Implying that investors in the European stock market expect firms to implement CSR but do not reward them financially. Therefore, managers need to satisfy the pressure from various stakeholders, including shareholders, while trying to maximize stock value.
Bakgrund: Ökningen av utveckling och välfärd som uppnåtts under det senaste decenniet har lett till nedbrytning av planeten. Medvetenhet om problemet har lett till ökad angelägenhet för att agera mer hållbart, både på individnivå och företagsnivå. Konceptet av hållbar utveckling integrerar ekonomisk tillväxt, skydd av planeten och sociala rättigheter. Företag måste uppfylla vissa krav inom hållbarhet för att vara verksamma. Om de gör mer än vad som krävs benämns det som företags sociala ansvar, eller corporate social responsibility (CSR) i engelska termer. Det finns speciella index som selekterar företag baserat på deras prestationer inom CSR. På det sättet kan företag använda sig av CSR för att påverka sitt rykte.  Syfte: Syftet med denna studie är att undersöka huruvida inkludering i eller exkludering från Dow Jones Sustainability Europe (DJSEUR) index har en significant påverkan på företags aktiepriser. Det sekundära syftet är att undersöka om olika sektorer, samt karaktärsdrag, har en signifikant påverkan på investerares respons till inkludering och exkludering. Studien inkluderar företag inom Europaregionen. Metod: Metodiken för en eventstudie användes för att beräkna abnormala avkastningar associerade med inkludering i eller exkludering från ett hållbarhetsindex. En linjär regression tillämpades för att skilja på om sektortillhörighet påverkade investerarnas reaktioner på när företag inkluderades i eller exkluderades från indexet. Studien använder aktiedata för företag från tidsperioden 2014-2019.  Resultat: Resultaten tyder på att inkluderingar från indexet inte signifikant ökar CAAR. Exkluderingar från indexet påverkade dock CAAR negativt på dagen för tillkännagivandet. För exkluderingar redovisade resultatet att fem sektorer har en signifikant skillnad i CAAR, men enbart en sektor för inkluderingar.  Slutsatser: Våra resultat visar att exkludering från DJSEUR minskar företagets aktiekurs, vilket tyder på att den europeiska aktiemarknaden straffar företag för att de inte bibehåller en tillräckligt hög nivå av CSR. Men investerare belönar inte företag för att inkluderas i DJSEUR indexet. Vilket innebär att investerare på den europeiska aktiemarknaden förväntar sig att företag implementerar CSR men belönar dem inte finansiellt. Därför tvingas managers tillfredsställa trycket från olika intressenter, inklusive aktieägare, samtidigt som de försöker maximera aktiens värde.

Denna studie undersöker indexinkluderingar och indexexkluderingars påverkan på europeiska företags aktiekurser genom att studera bolag som inkluderats i eller exkluderats ur hållbarhetsindexet Dow Jones Sustainability Index Europe under perioden 2017–2019. Vidare undersöks även specifikt svenska bolag som inkluderats, exkluderats eller bibehållit sin plats i indexet under samma tidsperiod. Detta till följd av det ökade intresset och utbudet av ESG- relaterade investeringar i världen, inte minst i Europa. En standardmässig eventstudiemetod baserad på marknadsmodellen används för att på kort sikt undersöka detta eventuella samband. Vi kan i resultatet inte finna några starka bevis på att en annonsering i sig har någon tydlig påverkan på företagens aktieavkastning för vare sig europeiska eller svenska bolag. Däremot finner vi att svenska bolag som behållit sin plats eller inkluderats i indexet visar en positiv genomsnittlig kumulativ avvikelseavkastning (CAR) mellan två och tio dagar efter annonseringsdagen. Det kan trots det inte bevisa indexets relevans för marknaden vilket stödjer tidigare studiers resultat.
This paper examines the impact of index inclusions and index exclusions on the share prices of European companies by studying companies that are included or excluded from the Dow Jones Sustainability Index Europe during the period 2017-2019. Furthermore, Swedish companies that have been included, excluded or retained their place in the index during the same time period are also specifically examined. This due to the increased interest and supply of ESG- related investments in the world, especially in Europe. A standard event study method based on the market model is used to investigate this possible connection in the short term. We cannot find strong evidence that an announcement has any evident impact on companies' return on investment for either European or Swedish companies. On the other hand, we find that Swedish companies that have retained their place or are included in the index show a positive average cumulative abnormal return (CAR) between two and ten days after the announcement date. Despite this, the results cannot prove the index's relevance to the market which supports previous studies.