What Determines the Inclusion in a Sustainability Stock Index? A Panel Data Analysis for European Companies


Ziegler, Andreas ; Schröder, Michael


[img]
Preview
PDF
dp06041.pdf - Published

Download (310kB)

URL: http://ub-madoc.bib.uni-mannheim.de/1365
URN: urn:nbn:de:bsz:180-madoc-13650
Document Type: Working paper
Year of publication: 2006
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: Q56 G30 C23 Q01 ,
Subject headings (SWD): Aktienindex , Panelanalyse , Probit-Modell
Abstract: This paper examines the determinants of the inclusion of European companies in the Dow Jones Sustainability World Index and the Dow Jones STOXX Sustainability Index. In doing so, the paper contributes to the micro-econometric literature analyzing the determinants and economic effects of sustainability performance in three respects: First, it examines a broad measure of corporate sustainability behavior and thus does not only apply narrow measures of environmental performance such as toxic releases which is common in other studies. Second, the paper examines the effect of internal assessment processes regarding corporate sustainability performance by an independent financial service institution. Finally, it analyzes the influence of unobserved heterogeneity in the framework of panel data models. The analysis shows that the probability for an inclusion in the sustainability indexes strongly decreases if a company does not respond to the written survey of the assessing institution. Furthermore, time invariant random effects and an autoregressive structure in the stochastic components are important factors. In contrast, a significant influence of past economic performance cannot be confirmed robustly.
Additional information:

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




+ Citation Example and Export

Ziegler, Andreas ; Schröder, Michael (2006) What Determines the Inclusion in a Sustainability Stock Index? A Panel Data Analysis for European Companies. Open Access [Working paper]
[img]
Preview


+ Search Authors in

+ Download Statistics

Downloads per month over past year

View more statistics



You have found an error? Please let us know about your desired correction here: E-Mail


Actions (login required)

Show item Show item