Description:
This study extends the previous literature by examining whether the stock market’s maturity and the sector in which a company operates influence the relationship between an improvement in the company’s reputation—proxied by inclusion in a reputational index—and the level of its stock returns. The research is based on daily data from the New York Stock Exchange and the Warsaw Stock Exchange in years 2009-2019. In the developed US market, a strong positive effect of inclusion in the Dow Jones Sustainability Index disappears when sectoral conditions are considered, but in the emerging Polish market, the significant reaction on inclusion in the RESPECT Index persists even when the sectoral circumstances are taken into account