A carregar...
Publicação
The impact of the addition to euronext vigeo Europe 120 index on the stock performance of European companies
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 650.83 KB | Adobe PDF |
Orientador(es)
Resumo(s)
In recent decades, the increasing amount of companies’ CSR efforts led to a growing concern
on how social actions affect stock prices. Different studies have produced contradictory results
and no universal relationship could be drawn.
This thesis responds to the increasing interest on the relationship between corporate social
responsibility and firm’s value. It will do so by analyzing whether the inclusion and exclusion
on Euronext Vigeo Europe 120 has a significant impact on European stock prices on the shortterm
or medium-term, whether it depends on the geographical position (Western vs Central
Eastern Europe) or industry group (highly pressured vs low pressured sectors).
An event study is conducted and the average abnormal returns of 166 unique stocks is analyzed
for the period of 2013 to 2017. Results show a short-term positive and negative impact for
index inclusion and exclusion; with no medium-term effect detected for either event. Central
European countries are the most negatively affected by index composition. The highlypressured
sector is the most positively affected for inclusion, with no sector differentiation for
exclusion.
The work project presents a few limitations such as a small sample size and the assumption of
high visibility of the index. As future and complementary approach, it would be of interest to
analyze other Euronext Vigeo Indices and compare the results as well as to understand the
visibility the index has on the market.
Descrição
Palavras-chave
Valuation Finance Research Stock