Do Investors Trade around Social Rating Announcements?
Jean-François Gajewski
- Fonction : Auteur
- PersonId : 22015
- IdHAL : jean-francois-gajewski
- IdRef : 052298086
Résumé
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.
Format du dépôt | Notice |
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Type de dépôt | Article dans une revue |
Titre |
en
Do Investors Trade around Social Rating Announcements?
|
Résumé |
en
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.
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Auteur(s) |
Alexis Cellier
1
, Pierre Chollet
2
, Jean-François Gajewski
3
1
IRG -
Institut de Recherche en Gestion
( 57129 )
- Université Paris-Est Créteil Val de Marne (UPEC) -Faculté de sciences économiques et de gestion
Place de la Porte des Champs , 4 Route de Choisy 94010 Créteil Cedex
- France
2
MRM -
Montpellier Research in Management
( 1087123 )
- MRM - CC 028 - Place Eugène Bataillon - 34095 Montpellier
- France
3
IREGE -
Institut de Recherche en Gestion et en Economie
( 432899 )
- Université Savoie Mont Blanc 4, chemin de Bellevue B.P. 80439 74944 Annecy-le-Vieux Cedex
- France
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Langue du document |
Anglais
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Nom de la revue |
|
Vulgarisation |
Non
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Comité de lecture |
Oui
|
Audience |
Internationale
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Date de publication |
2016-06
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Date de publication électronique |
2015-10-02
|
Volume |
22
|
Numéro |
3
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Page/Identifiant |
484-515
|
Domaine(s) |
|
DOI | 10.1111/eufm.12066 |
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