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What determines the inclusion in a sustainability stock index? A panel data analysis for European firms


Ziegler, Andreas; Schröder, Michael (2010). What determines the inclusion in a sustainability stock index? A panel data analysis for European firms. Ecological Economics, 69(4):1-33.

Abstract

This paper empirically examines the determinants of the inclusion of European firms in the Dow Jones Sustainability World Index and the Dow Jones Stoxx Sustainability Index. While a restricted econometric analysis implies a positive effect of corporate financial performance, this impact becomes ambiguous in more flexible panel probit models. Our estimation results therefore strengthen the importance of the use of panel data and the incorporation of unob-served heterogeneity. Furthermore, our analysis shows that the sustainability assessment and selection process for the composition of the Dow Jones sustainability indexes and thus factors that need not necessarily be directly connected to corporate environmental or social activities also have an influence.

Abstract

This paper empirically examines the determinants of the inclusion of European firms in the Dow Jones Sustainability World Index and the Dow Jones Stoxx Sustainability Index. While a restricted econometric analysis implies a positive effect of corporate financial performance, this impact becomes ambiguous in more flexible panel probit models. Our estimation results therefore strengthen the importance of the use of panel data and the incorporation of unob-served heterogeneity. Furthermore, our analysis shows that the sustainability assessment and selection process for the composition of the Dow Jones sustainability indexes and thus factors that need not necessarily be directly connected to corporate environmental or social activities also have an influence.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Center for Corporate Responsibility and Sustainability
Dewey Decimal Classification:330 Economics
Language:English
Date:15 February 2010
Deposited On:05 Feb 2010 00:00
Last Modified:26 Jan 2017 08:45
Publisher:Elsevier
ISSN:0921-8009
Free access at:Related URL. An embargo period may apply.
Publisher DOI:https://doi.org/10.1016/j.ecolecon.2009.10.009
Related URLs:http://www.ccrs.uzh.ch (Author)
http://www.zew.de (Author)

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