Is gender equality valued by investors? : an event study of companies included in the Bloomberg gender equality index

Abstract

This thesis investigates whether global markets value firm commitment to gender equality in the workplace by using event study methodology. We examine whether inclusion in Bloomberg’s Gender Equality Index (GEI) yields abnormal returns and abnormal trading volume around the annual recomposition of the index. Hence, we study the effect GEI inclusion has on the full global sample and subsamples categorized by periods, geographical regions, and industries. Thus, allowing us to observe different market reactions to the respective subsamples over the past five years, starting in 2016, when the GEI was founded. Contrary to our main hypothesis, which states that inclusion in the GEI should yield significant positive abnormal returns, this study’s results do not yield any significant observations for the full sample around the annual recomposition over the period from 2016-2020. However, there seem to be differences between geographical regions. We observe significant positive abnormal returns the days following the announcement in the European region and significant positive abnormal returns the days prior to the announcement in the North American region. In contrast, the Asia-Pacific region yields no significant observations. Similar to the lack of abnormal return observations, this study does not find significant positive abnormal trading volume around the announcement except for on the day of the announcement, though the result is barely significant at the 10% level. Further, we cannot conclude that inclusion in the GEI differs between industries as we only observe significant abnormal returns around the announcement in one out of ten industries. Our findings do not give sufficient support to conclude that investors value gender equality in the workplace on a global scale. However, the results indicate an increasingly positive view of gender equality over the years. From 2016-2018 we observe negative but not significant abnormal returns over the full event window. In contrast, the results in 2019 are positive and significant, and in 2020, the results remain positive but lose significance.