• Corpus ID: 208513123

Reaction Asymmetries to Social Responsibility Index Recomposition: A Matching Portfolio Approach

@article{Rudkin2019ReactionAT,
  title={Reaction Asymmetries to Social Responsibility Index Recomposition: A Matching Portfolio Approach},
  author={Wanling Rudkin and Charlie X. Cai},
  journal={arXiv: Statistical Finance},
  year={2019}
}
Listing on the Dow Jones Sustainability Index is seen as a gold-standard, verifying to the market that a firm is fully engaged with a corporate social responsibility agenda. Robustly quantifying the impact of listing, and de-listing, against any industry level shocks, as well as evolution in the competitive relationship between firms within the industry, provides a strength absent in existing works. It is shown that cumulative abnormal returns on stocks added to the index are significantly… 

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