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


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.


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


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.



We would like to thank Edoardo Gai from SAM Group for his help to access the data and for his helpful comments. A special thanks to Prof. Terrence Martell and all the participants of the ICCA 2007 International Conference for their useful comments and suggestions.


  1. Bauer R., K. Koedijk, and R. Otten: 2005, International Evidence on Ethical Mutual Fund Performance and Investment Style. Journal of Banking and Finance, 29, 1751–1767CrossRefGoogle Scholar
  2. Caparrelli, F. and A. M. D’Arcangelis: 2003, ‘Acquistare titoli che entrano nel MIB30. Strategia di successo o illusione?’, Bancaria, 6Google Scholar
  3. Derwall L., N. Guenster, R. Bauer, and K. Koedijk: 2005, The Eco-Efficiency Premium Puzzle. Financial Analysts Journal, 61(2), 51–63CrossRefGoogle Scholar
  4. Di Bartolomeo D. and L. Kurtz: 1999, Managing Risk Exposure of Socially Screende Portforlios (Northfield Information Service, Boston),
  5. Fama, E. F. and K. R. French: 1996, ‘Multifactor Explanations of Asset Pricing Anomalies’, The Journal of Finance 51(1), 55–84Google Scholar
  6. Freeman, R. E. (1984). Strategic Management: A Stakeholder Approach (Pitman, Boston)Google Scholar
  7. Garz, H., C. Volk and M. Gilles: 2002, More Gain than Pain (SRI: Sustainability Pays Off, West LB).
  8. Geczy, C., R. Sambaugh and D. Levin: 2004, ‘Investing in Socially Responsible Mutual Funds’, Wharton School Working Paper, University of PennsylvaniaGoogle Scholar
  9. Harris, L. and E. Gurel: 1986, ‘Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Esistence of Price Pressure’, Journal of Finance 41, 815–829Google Scholar
  10. Jensen, M. C.: 2001, ‘Value Maximization, Stakeholder Theory, and the Corporate Objective Function’, Journal of Applied Corporate Finance 14(3), 8–21Google Scholar
  11. Kahneman D., and A. Tversky: 1979, Prospect Theory: An Analysis of Decision Under Risk. Econometrica, 47(2), 263–291CrossRefGoogle Scholar
  12. Kurtz, L. and D. Di Bartolomeo: 1996, ‘Socially Screened Portfolios. An Attribution Analysis of Relative Performance’, Journal of Investing 5, 35–41Google Scholar
  13. Lamoureux, C. G. and J. W. Wansley: 1987, ‘Market Effects of Changes in the Standard & Poor’s 500 Index’, The Financial Review, 22(1), 53–69Google Scholar
  14. Moskowitz, M.: 1972, ‘Choosing Socially Responsible Stocks’, Business and Society 1, 71–75Google Scholar
  15. Orlitzky, M., F. L. Schmidt and S. L. Rynes: 2003, ‘Corporate Social and Financial Performance: A Meta-Analysis’, Organization Studies 24(1), 403–441Google Scholar
  16. Sauer, D.: 1997, ‘The Impact of Socially-Responsible Screens on Investment Performance: Evidence from␣the Domini 400 Social Index and Domini Equity Fund’, Review of Financial Economics 6, 137–149Google Scholar
  17. Schröder , M.: 2003, ‘Is There a Difference? The Performance Characteristics of SRI Equity Indexes’, ZEW Discussion Paper, No. 05–50Google Scholar
  18. Statman , M.: 2000, ‘Socially Responsible Mutual Funds’, Financial Analyst Journal 56, 30–39Google Scholar
  19. Volk, C.: 2003, ‘Inside SRI. Update “More Gain than Pain” & A Fresh Look at New Index Structures’, October,

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

Personalised recommendations