Corporate sustainability and value creation: the case of the “Dow Jones Sustainability Index”

Abstract Choosing an enterprise that will be part of Dow Jones Sustainability Index (DJSI) raises some expectations concerning this conquest benefits. We hope that the investment on sustainable development and the inclusion of the company in this select group bring economic and strategic benefits that can reflect in the company market valorization. However, the correlation between social, environmental and financial development is quite complex. In this context, this paper aims to verify whether the inclusion of an enterprise in DSJI list, which presupposes a high social and environmental performance, provides it with greater financial return. We use the case study method in order to investigate the existence of abnormal returns when disclosing the information of the company inclusion in the list, as well to analyze the hypothesis that market has positive expectations concerning to DSJI participation. This study included one hundred and fifty-four companies listed in DSJI that trade their shares on the New York Stock. The results show no effect and do not confirm the greater return hypothesis, but neither do they indicate a reduction in financial performance associated do this fact.

摘要 入选道琼斯可持续发展指数（Dow Jones Sustainability Index, DJSI）的企业，其获选资格所带来的收益往往承载着诸多预期。我们期望，企业在可持续发展领域的投入以及跻身该精英甄选群体，能够为其带来经济与战略层面的多重收益，并最终体现在企业市场估值的提升上。然而，社会、环境与财务发展三者之间的关联机制却相当复杂。在此背景下，本文旨在验证：入选DJSI榜单的企业（该榜单的入选前提是企业具备较高的社会与环境绩效）能否为自身带来更高的财务回报。为此，本文采用案例研究法，一方面探究企业披露入选榜单信息时是否存在超额收益，另一方面验证市场对企业入选DJSI存在正向预期这一假说。本研究纳入了154家入选DJSI榜单且股票在纽约证券市场交易的上市公司。研究结果未显示出显著影响，既未证实更高财务回报的相关假说，也未表明入选该榜单会伴随企业财务表现的下滑。