Investor Alignment in Divestment Decisions and Firm Behavior: Evidence from Publicly Disclosed Exclusion Lists
研究挪威央行投资管理公司（NBIM）的排除公告对股价、投资者行为和企业后续表现的影响，发现市场负面反应，且投资者在排除决策上高度一致，这种一致性与企业环境和社会绩效改善相关。
We study the consequences of portfolio exclusion announcements by Norges Bank Investment Management (NBIM), examining their relationship to shareholder wealth, investor behavior, and subsequent firm outcomes. Market participants respond negatively to the exclusion disclosures with an average abnormal return of – 0.5% over a three-day window surrounding the announcement. Using a novel dataset of exclusion decisions by 86 major institutional investors, we document substantial institutional alignment in exclusion decisions. Firms excluded by NBIM face five times more institutional investor exclusions than other excluded firms in our dataset. Exclusion timing by other investors relative to NBIM's decisions varies systematically, with shorter time gaps for larger, geographically proximate investors, and firms with higher prior ESG performance. Exclusions with broader institutional alignment, particularly among asset owners, are associated with significant improvements in firms’ environmental and social performance. However, when exclusions occur without broader institutional alignment, firms experience deteriorating ESG performance. This suggests that divestments through exclusion by a notable investor are linked to short-term market perceptions and ownership structures, while improvements in firms’ environmental and social behavior are observed primarily when there is alignment in investors’ divestment decisions.