Do Investors Trade around Social Rating Announcements?
研究欧洲市场社会责任评级公告前后的交易行为，发现交易量在公告前骤降、公告后回升，且细分评分（如商业行为、人权）影响交易，但总分和环境风险无显著影响。
Abstract 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.