Market reaction to the FTSE/JSE responsible investment index series

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dc.contributor.authorUsher, Hayden Philip
dc.date.accessioned2020-09-14T11:29:27Z
dc.date.available2020-09-14T11:29:27Z
dc.date.issued2019
dc.descriptionA research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, Johannesburg, in partial fulfilment of the requirements for the degree of Master of Commerce (Accounting)en_ZA
dc.description.abstractResponsible investment has seen considerable growth since the turn of the millennium, and this has spurred the creation and continuous development of responsible investment indexes across the globe. The purpose of this paper is to investigate whether the release of the RI index series contains price sensitive information content and therefore has value relevance for the market. Using event study methodology applied to the six releases of the FTSE/JSE Responsible Investment Index series from October 2015 to June 2018, this paper investigates the impact on the share prices of constituent, included and excluded firms from this index series. The study finds that the release of the constituents of the RI index does not contain new information content while constituents of the RI top 30 experience positive and statistically significant abnormal returns as a result of their constituency. The inclusion of firms on the RI index is not a release of new price-sensitive information, while firms included on the RI top 30 experience a sustained increase in share price throughout the event window. Firms excluded from the RI index and RI top 30 experience negative and statistically significant share returns and the market applies a greater discount toward firms excluded from the RI top 30. Finally, there are statistically significant differences between firms that were included and firms that were excluded from the RI index and the RI top 30 post-announcement date, and this is caused by the market applying a value discount toward firms with deteriorating ESG performance and disclosure. From an investors perspective, investors are able to generate significant arbitrage returns by shorting (longing) shares of firms expected to be to be excluded (included) from the RI index series. Consequently, firms should strive to be included or remain on the RI index series in order to signal the market that there has not been a deterioration in their ESG performance and disclosure, which would have a negative impact on their share price.en_ZA
dc.description.librarianNG (2020)en_ZA
dc.facultyFaculty Commerce, Law and Managementen_ZA
dc.format.extentOnline resource (ix, 100 leaves)
dc.identifier.citationUsher, Hayden, 2019, Market reaction to the FTSE/JSE responsible investment index series, University of the Witwatersrand, https://hdl.handle.net/10539/29639
dc.identifier.urihttps://hdl.handle.net/10539/29639
dc.language.isoenen_ZA
dc.rights.holderUniversity of the Witswatersrand, Johannesburg
dc.schoolSchool of Accountancyen_ZA
dc.subjectUCTD
dc.subjectFTSE
dc.subjectJSE
dc.subjectInvestment Index
dc.subjectInvestment
dc.subjectRI index series
dc.subject.lcshJohannesburg Stock Exchange
dc.subject.lcshInvestments--South Africa
dc.subject.lcshInvestment analysis
dc.subject.otherSDG-8: Decent work and economic growth
dc.titleMarket reaction to the FTSE/JSE responsible investment index seriesen_ZA
dc.typeDissertationen_ZA
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