Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index

摘要

The increased scrutiny of investorsregarding the non-financial aspects of corporate performance has placed portfolio managers in the position ofhaving to weigh the benefits of ‘holding the market’against the cost of having positions in companies that aresubsequently found to have questionable business practices. The availability of stock indexes based on sustainability screening makes increasingly viable for institutionalinvestors the transition to a portfolio based on a SociallyResponsible Investment (SRI) benchmark at relativelylow cost. The increasing share of socially responsibleinvestments may play a role in providing incentives towards a continuous upgrading of sustainability standardsto the extent that their performance is not systematicallyinferior to that of the other funds. This article examineswhether these incentives have been so far detectable withparticular reference to the Dow Jones Sustainability StoxxIndex (DJSSI) that focuses on the European corporationswith the highest CSR scores among those included in theDow Jones Stoxx 600 Index. The aim of the article istwofold. First, we analyse the performance of the DJSSIover the period 2001–2006 compared to that of theSurrogate Complementary Index (SCI), a new benchmark that includes only the components of the DJ Stoxx 600that do not belong to the ethical index to evaluate morecorrectly the size of possible divergent performances.Second, we perform an event study on the same data setto analyse whether the stock market evaluation reacts tothe inclusion (deletion) in the DJSSI. In both cases, theresults suggest that the evaluation of the CSR performance of a firm is a significant criterion for asset allocation activities.