Sustainability for European investors: Evidence from a sustainable ranking

Abstract

Corporate sustainability implies a broad perspective that suggests the creation of value for stakeholders and requires developing some commitments at the economic, social, environmental and governance levels. Measurement of the level of corporate sustainability occurs via different tools, with sustainable rankings being one of the most popular instruments. However, the impact of these indicators on the market value is controversial. Consequently, our aim is to analyse the influence of the level of sustainability on the market value of a set of companies. To do so, we isolate the impact of the sustainability factor from other series of effects related to the general evolution of financial markets. We have used the information contained in a sustainable ranking: the medal display table provided by RobecoSAM. Our results reveal that investors do not equivalently value the different movements and marks derived from participation in a sustainability ranking.