The Relationship between Sustainability Performance and Stock Return: An Empirical Study of the Listed Companies on the Stock Exchange of Thailand Awarded Dow Jones Sustainability Index (DJSI)
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Abstract
This paper investigates the relation between corporate sustainability performanceand corporate financial performance by analyzing stocks in the Stock Exchange of Thailand during 2012–2016that they were invited to participate in the Dow Jones Sustainability Index (DJSI), whether or not a DJSI reward has been given to an investor. The study was conducted in order to find out abnormal returns by event studies method. The results indicated that DJSI awarded company has a normalized return and positive return on each test period.As a result, the share price of the company has increased significantly. And it affects the permanent increase in the long run. For companies that do not receive DJSI awards. It is found thatabnormal return on each test period has a negative return. However, there was no statistically significant. Research shows that investors have responded positively to the DJSI awarded.
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