MATERIAL AND IMMATERIAL STOCK PERFORMANCES ON HIGH AND LOW INVESTMENTS

Abstract

We study the effect of materiality and immateriality on high and low investments. Using the SASB mapping, we obtain materiality and immateriality scores for S&P 500 companies by industry sectors. We separate firms into high and low investment according to their rankings of residuals and conducted Fama-Macbeth calendar-time regression to verify the performance of including materiality and immateriality in firm analysis. We obtained that high investments on material sustainability issues are more value attracting while high investments on immaterial sustainability issues are value distracting. Furthermore, we also examined the investment performances on all sustainability issues. The results signal needs of further enhancing sustainable activities within firms to make it more value attracting.