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Nahoko Mitsuyama and Satoshi Shimizutani
''Stock market reaction to ESG-oriented management: an event study analysis on a disclosing policy in Japan''
( 2015, Vol. 35 No.2 )
ESG investment, a new form of portfolio allocation that takes into consideration the non-financial factors of firms such as environmental (E), social (S), and corporate governance (G) issues in business, has gained prominence in the capital market. However, empirical evidence on the attractiveness to investors and resultant stock price reaction toward ESG-oriented firms has been scarce both inside and outside Japan. This study performs event study analysis to explore stock market reaction to the announcement of the “ESG Brand” consisting of firms that are judged to make serious efforts in favor of ESG aspects in business among the companies listed on the Tokyo Stock Exchange. The Brand selection was conducted after positive screening by a third party in an objective manner. Our finding reveals little evidence of a positive and significant stock price reaction to the Brand announcement around the event day. In addition, the result is not altered in terms of cumulative abnormal returns over a longer term. We conclude that the stock market did not respond to the announcement of the ESG Brand.
Keywords: ESG, event study, Japan's stock market, SRI, CSR, Tokyo Stock Exchange
JEL: G3 - Corporate Finance and Governance: General
M2 - Business Economics: General
Manuscript Received : Mar 10 2015 Manuscript Accepted : May 14 2015

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