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，往往会引发外界对其入选收益的诸多期待。学界普遍认为，企业对可持续发展的投入以及跻身这一精英榜单，将为其带来经济与战略层面的收益，并最终体现在市场估值的提升上。然而，社会、环境与财务发展三者间的关联却极为复杂。在此背景下，本文旨在验证：入选预设了较高社会与环境绩效标准的DJSI榜单，是否能够为企业带来更高的财务回报。本文采用案例研究法，在披露企业入选榜单的信息时，考察是否存在异常收益，并检验市场对DJSI入选资格抱有正向预期这一假说。本研究的样本涵盖154家入选DJSI且于纽约证券交易所挂牌交易的企业。研究结果未显示入选DJSI对企业收益存在显著影响，未证实更高回报假说，但亦未表明该事件会导致企业财务绩效下滑。