| dc.description.abstract | The aim of this thesis is to study how global markets value companies that exhibit a
commitment towards gender diversity among their board of directors and among the leadership
positions. We investigate how stock returns and trading volume are affected by inclusion in or
exclusion from the MSCI World Women’s Leadership Index (WWLI). The effect is measured
on both the date of announcement and the effective date of the index rebalancing. We use both
global samples as well as geographically categorized subsamples to study the effects in North
America, Europe, and Asia Pacific individually.
The data is processed by removing observations from the dataset which are affected by
confounding events that could bias the results. Our findings suggest that on an aggregate level,
investors seem to value index inclusion, as we observe significant abnormal returns on the day
of the event. In the geographical subcategories the results suggest that investors in Europe and
Asia do not value, and rather punish firms included in the index. Furthermore, deletions yield
no significant results, apart from in the European region where investors seem to penalize
exclusion from the World Women’s Leadership Index. Neither inclusion nor exclusion appear
to have a significant effect on trading volume. The results could potentially be biased by
endogenous variables, as both inclusion and exclusion from the index could be explained by
the same factor that causes abnormal returns. | en_US |
