Sustantibility stock exchange indexes and investor expectations: multivariate evidence from DJSI-Stoxx

• Autores: Eduardo Ortas Fredes , José Mariano Moneva Abadía
• Localización: Revista española de financiación y contabilidad, ISSN 0210-2412, Nº 151, 2011, págs. 395-416
• Idioma: inglés
• DOI: 10.1080/02102412.2011.10779706
• Títulos paralelos:
  • Índices bursátiles socialmente responsables y expectativas del inversor: evidencia multivariante del DJSI-Stoxx
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• Dialnet Métricas: 10 Citas
• Resumen

  • El presente trabajo analiza la reacción del mercado ante la aparición de eventos relacionados con la inclusión y exclusión de empresas del índice bursátil Dow Jones Sustainability Stoxx Index. Estos se asocian con la obtención de niveles satisfactorios y defi cientes de desempeño social. Se introduce el evento de no exclusión de las empresas del índice y se ha aplicado un estudio de eventos para medir la respuesta del mercado ante los cambios en la composición del índice. Una de las novedades de la presente investigación reside en el uso de un modelo de regresión multivariante, con el objetivo de mitigar las limitaciones identifi cadas en trabajos similares y, en especial, cuando aparece el efecto �clusterización de eventos�. El análisis empírico ha sido aplicado sobre un periodo temporal de cinco años (2003-2007), durante el cual se produjo el mayor incremento global de la Inversión Socialmente Responsable.

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