The impact of the addition to Euronext Vigeo Europe 120 index on the stock performance of European companies

Details

Supervisors

Anh Nguyen

Faculty

Louvain School of Management

Degree label

Master [120] en sciences de gestion

Abstract

In recent decades, the increasing amount of companies’ CSR efforts led to a growing concern on how social actions affect stock prices. Different studies have produced contradictory results and no universal relationship could be drawn. This thesis responds to the increasing interest on the relationship between corporate social responsibility and firm’s value. It will do so by analyzing whether the inclusion and exclusion on Euronext Vigeo Europe 120 has a significant impact on European stock prices on the short-term or medium-term, whether it depends on the geographical position (Western vs Central Eastern Europe) or industry group (highly pressured vs low pressured sectors). An event study is conducted and the average abnormal returns of 166 unique stocks is analyzed for the period of 2013 to 2017. Results show a short-term positive and negative impact for index inclusion and exclusion; with no medium-term effect detected for either event. Central European countries and the low-pressured sector are the most negatively affected by index composition. The work project presents a few limitations such as a small sample size and the assumption of high visibility of the index. As future and complementary approach, it would be of interest to analyze other Euronext Vigeo Indices and compare the results as well as understand the visibility the index has on the market.

Citations

• APA

Neves, M. C. (2018). The impact of the addition to Euronext Vigeo Europe 120 index on the stock performance of European companies. https://dial-mem.test.bib.ucl.ac.be/handle/2078.2/11528