Oberndorfer, Schmidt, Wagner, and Ziegler (2013)
Oberndorfer, Ulrich, Peter Schmidt, Marcus Wagner, and Andreas Ziegler. “Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms.” Journal of Environmental Economics and Management, November 2013.
Form the authors' abstract: "This paper empirically analyzes the effect of the inclusion of German corporations in the Dow Jones STOXX Sustainability Index (DJSI STOXX) and the Dow Jones Sustainability World Index (DJSI World) on stock performance... Our empirical results suggest that stock markets may penalize the inclusion of a firm in sustainability stock indexes. This finding is mainly driven by a strongly negative effect of the inclusion in the DJSI World. In contrast, we do not find significant average cumulative abnormal returns for the inclusion in the DJSI STOXX."