Resumo

BHANA, N. Corporate social responsibility initiatives and its impact on firm share price performance: Evidence from South Africa. JCMAN [online]. 2018, vol.15, n.1, pp.100-126. ISSN 1815-7440.

This paper investigates the market reaction to corporate entry and exit from the JSE Socially Responsible Investment (SRI) Index between 2004 and 2014. The event study shows significant positive abnormal returns for new companies added to the annual SRI Index listing in both initial and subsequent years of publication. Over longer holding periods, the JSE Social Responsibility sample companies consistently outperform the FTSE/JSE All Share Index, but do not significantly outperform the matched set of companies. However, a rebalancing strategy based on only adding newly listed companies, and dropping consecutive winners outperforms the FTSE/ JSE All Share Index and the matched company portfolio.

Palavras-chave : Event study; JSE SRI Index; portfolio rebalancing strategy; share price reaction; social responsibility initiatives.

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