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Sustainability Indices: Do Investors Actually Care?

Sustainability Indices: Do Investors Actually Care?

In the face of social, environmental, and financial disruptions, more attention is being paid to corporate social responsibility (CSR) policies, and sustainability benchmarks have multiplied. But does a firm's listing in a CSR index really matter to investors? Researchers at HEC Paris investigated how important inclusion in the leading global CSR benchmark, the Dow Jones Sustainability Index (DJSI) World, is to investors.

  • New study on impact of DJSI inclusion on companies
  • Results show positive impact on visibility among analysts and percentage of shares held by long-term investors
  • Limited impact on stock price and trading volume

Rodolphe Durand, Luc Paugam and Hervé Stolowy of HEC Paris summarize the results of their research in this insight.

A burning question that involves both strategic and financial aspects in this area is, Does corporate social responsibility pay off for a company? In our paper “Do Investors Actually Value Sustainability Indices?,” we sought to address specifically whether inclusion in the Dow Jones Sustainability Index (DJSI) World offers benefits to listed companies.

The composition of the index changes from year to year, with firms being added, deleted, or maintaining their status on the list. Previous research has found that a firm’s addition to, continuation on, or deletion from the DJSI had little impact on stock price when compared to other firms in the same industry with similar profitability. However, past research is silent on the impact of these events among top CSR performing firms.

So we went further to investigate the effect of the DJSI on a firm’s stock price, trading volume and a company’s visibility among analysts and on the percentage of shares held by long-term investors. To do this, we compared firms in the DJSI to other firms that had a strong CSR performance but were not listed on the Dow Jones Sustainability Index. Our “control group” was composed of firms that had a marginal CSR performance difference compared to the DJSI firms, identified using criteria employed by the DJSI.


Our work confirmed limited impact on stock prices and trading volume. Our results concerning the long-terms effects of inclusion in the DJSI indicate that addition to, or continuation on, the DJSI appears to have a positive impact on both a firm’s visibility among financial analysts (up to 5 more analysts in a decade) as well as the percentage of shares held by long-term investors (shares for on average 150 million $ change hands and go to long-term investors). Depending on a company’s priorities, the cost of CSR activities could bring worthwhile returns in the firm’s visibility to key stakeholders.


We looked at data from a 10-year period, 2005 to 2015, on firms that were added to, continued on, or deleted from the annual DJSI World Index. We then compared these firms to a control group of companies that were similarly rated by another CSR rating agency, Thomson Reuters Asset4, but were not listed on the DJSI. We examined four different outcomes after the publication of a new DJSI: 1) whether the stock price changed over a three-day period; 2) the volume of shares traded over that time window; 3) whether more sell-side financial analysts wrote research about the firms; 4) the percentage of shares held by long-term investors, such as pension or endowment funds.

The influence of sustainability indices may not have reached its full potential. Confronted with daunting climate challenges and the mounting demands of civil society, the impact of sustainability indices cannot but grow over time. Analyst surveys, for example, indicate that CSR performance is becoming a more important factor in investment decisions. According to CFA Institute (2017), 78% of analysts take environmental, social, and governance performance into consideration for their investment decisions.


Durand, R., Paugam, L. Stolowy, H. (2019) Do Investors Actually Value Sustainability Indices? Replication, Development, and New Evidence on CSR visibility. Strategic Management Journal, Forthcoming.