Do Investors Trade around Social Rating Announcements?

Abstract

This paper investigates trading around Corporate Social Responsibility (CSR) rating announcements. Focusing on CSR rating announcements made by Vigeo on European markets, we use Euronext intraday data to prove that trading volume drops sharply before announcements and increases afterwards. Willingness to trade depends mainly on prior private information and the content of the announcement. Our results show effects from disaggregated scores, but not from overall scores. More specifically, we find that some topics like business behaviour, human resources and human rights significantly influence investor trades. Environmental risk does not have an impact on trading behaviour.

Employee treatment and firm innovation

“…Corporate social responsibility (CSR) practices can impact firm value around the world (e.g., Benlemlih & Girerd‐Potin, ; Cellier, Chollet, & Gajewski, ; Gregory, Whittaker, & Yan, ). Cellier et al.…”

“…Cellier et al. () study firms whose shares are traded on Euronext and find that announcements of CSR ratings have a significant impact on stock trading. Based on a sample from 25 countries, Benlimlih and Girerd‐Potin () show that favorable CSR ratings significantly reduce firms’ idiosyncratic risk in civil law countries but not in common law countries.…”

The performance of technical trading rules in Socially Responsible Investments

“…1 This type of investing is highly international, with nearly 40% of the 5.5 trillion of assets under management from oversea investors. 2 SRI ratings are important for investors as demonstrated by Cellier et al (2016), who show a decrease in trades prior to announcements, followed by a rise afterwards, indicating that investors care about announcements of extrafinancial ratings. Furthermore, Ammann et al (2018) show that the Morningstar Sustainability Rating has a huge impact on mutual fund flows, where in the first year after publication, higherrated funds receive between $4.1m and $10.1m higher net flows while lowrated funds receive between $1.0m to $5.0m lower net flows than averagerated funds.…”

Informations environnementales publiées dans le document de référence : quel impact sur les cours boursiers ? Une étude longitudinale sur le CAC 40 (2008-2013)

“…Les premières études se sont intéressées aux catastrophes écologiques ou dans la même veine à l'impact de la violation de lois sur l'environnement (Bosh et al ., 1998;Laplante et Lannoie, 1994;Little et al ., 1995;Muoghalu et al ., 1990;Capelle-Blancard et Laguna, 2010) . Les études plus récentes portent sur des événements variés tels que l'annonce d'une innovation ou initiative managériale dans le domaine de l'environnement (Ba et al ., 2012;Bose et Pal, 2012;Mathur et Mathur, 2000), la participation volontaire à un programme environnemental (Fisher-Vanden et Thorburn, 2011;Keele et DeHart, 2011) ou l'inclusion / exclusion dans un score (Cheung, 2011;Consolandi et al ., 2009;Robinson et al ., 2011), la publication d'un classement RSE (Lyon et Shimshack, 2015;Cellier et al ., 2016) . La méta-analyse effectuée par Endrikat (2016) qui porte sur un ensemble de 32 études d'événement indique que d'une part, la plupart portent sur le marché américain et que d'autre part, tout événement lié à l'environnement a un impact sur les cours boursiers mais que cet impact n'est pas symétrique, le marché réagissant plus fortement aux mauvaises nouvelles qu'aux bonnes .…”