Hawn, Chatterji, and Mitchell (2017)

Hawn, Olga, Aaron Chatterji, and William Mitchell.  “Do Investors Actually Value Sustainability? New Evidence from Investor Reactions.”  Working paper (UNC Kenan-Flagler Business School), 2017.

From the authors' abstract:  "[W] undertake a large-scale longitudinal financial event study of the Dow Jones Sustainability Index (DJSI). Important and unique to this setting, our sample includes firms from 31 countries, which is crucial to understanding the global impact of sustainability of firm value. Results show noisy investor reaction to DJSI events; however, on average, over time firms increasingly benefit from being associated with the DJSI, with U.S. firms experiencing a declining relative advantage over time. This study suggests that sustainability researchers need to be more careful when studying the impact of sustainability on performance as it may vary by context and over time."

Link (published version):  https://onlinelibrary.wiley.com/doi/abs/10.1002/smj.2752