Journal of Business Ethics

, Volume 87, Supplement 1, pp 185–197 | Cite as

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

  • Costanza Consolandi
  • Ameeta Jaiswal-Dale
  • Elisa Poggiani
  • Alessandro Vercelli
Article

Abstract

The increased scrutiny of investors regarding the non-financial aspects of corporate performance has placed portfolio managers in the position of having to weigh the benefits of ‘holding the market’ against the cost of having positions in companies that are subsequently found to have questionable business practices. The availability of stock indexes based on sustainability screening makes increasingly viable for institutional investors the transition to a portfolio based on a Socially Responsible Investment (SRI) benchmark at relatively low cost. The increasing share of socially responsible investments may play a role in providing incentives towards a continuous upgrading of sustainability standards to the extent that their performance is not systematically inferior to that of the other funds. This article examines whether these incentives have been so far detectable with particular reference to the Dow Jones Sustainability Stoxx Index (DJSSI) that focuses on the European corporations with the highest CSR scores among those included in the Dow Jones Stoxx 600 Index. The aim of the article is twofold. First, we analyse the performance of the DJSSI over the period 2001–2006 compared to that of the Surrogate Complementary Index (SCI), a new benchmark that includes only the components of the DJ Stoxx 600 that do not belong to the ethical index to evaluate more correctly the size of possible divergent performances. Second, we perform an event study on the same data set to analyse whether the stock market evaluation reacts to the inclusion (deletion) in the DJSSI. In both cases, the results suggest that the evaluation of the CSR performance of a firm is a significant criterion for asset allocation activities.

Keywords

DJSSI – Dow Jones Sustainability Stock Index ethical stock indexes SRI (Socially Responsible Investing) performance of SRI funds 

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Copyright information

© Springer Science+Business Media B.V. 2008

Authors and Affiliations

  • Costanza Consolandi
    • 1
  • Ameeta Jaiswal-Dale
    • 2
  • Elisa Poggiani
    • 1
  • Alessandro Vercelli
    • 3
  1. 1.Department of Management and Social StudiesUniversity of SienaSienaItaly
  2. 2.Department of Finance, Opus College of BusinessUniversity of St. ThomasMinneapolisU.S.A.
  3. 3.Department of Economic Policy, Finance and Development (DEPFID)University of SienaSienaItaly

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