Implementation of Sustainability Strategies in Operations and Abnormal Stock Returns Under Uncertainty: Evidence from Companies Listed on the Vietnamese Stock Market During the COVID-19 Outbreak

Round 1

Reviewer 1 Report

Comments and Suggestions for Authors

The paper investigates an important and timely topic, exploring the relationship between the implementation of sustainability strategies and stock abnormal returns under uncertainty during the COVID-19 outbreak, using evidence from companies listed on the Vietnamese stock market. The choice of dependent and control variables is appropriate and aligns well with the study’s objectives. However, the operationalization of the key explanatory variable, the implementation of sustainable practices, raises concerns about the validity and reliability of the findings. Clearer explanations and a more robust measurement framework are necessary to ensure the quality of the study.

1. The implementation of sustainable practices is a key explanatory variable in this study, but the way it is operationalized (using 0 and 1 values) lacks clarity and objectivity.
1. How are these binary values determined? Is there a standardized framework, checklist, or benchmark used to assess whether a company has implemented sustainable practices?
2. Are these assessments based on self-reported data, third-party evaluations, or publicly available disclosures? If so, please specify the sources of information and the criteria for assigning these values.
2. Since the implementation of sustainability strategies is the core focus of the paper, it must be measured in a way that accurately reflects its complexity and multi-dimensionality. Consider addressing the following:
1. Use a well-established sustainability index (e.g., ESG scores, GRI standards, or SASB indicators) to measure the implementation of sustainability practices if available.
2. If such data is not available, provide a detailed explanation of the methodology used to assign the binary values, including examples or case studies to illustrate the criteria.
3. Discuss the limitations of using a binary variable to measure sustainability practices, as it oversimplifies a nuanced concept and might not capture variations in the degree of implementation.
3. Explain how the measurement process for the implementation of sustainability practices has been validated. For example:
1. Was the assessment reviewed by experts or cross-verified with independent sources?
2. Are there inter-rater reliability checks if multiple individuals were involved in assigning the values?
4. The paper should explicitly discuss how the subjective nature of the sustainability practices variable might affect the interpretation of the results.
1. Highlight potential biases or inconsistencies that may arise from the way the variable is defined and measured.
2. Consider conducting a sensitivity analysis to test the robustness of the findings under different assumptions about the implementation of sustainability practices.

Until these issues are cleared I can not review the paper. 

Author Response

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Author Response File: Author Response.pdf

Reviewer 2 Report

Comments and Suggestions for Authors

Good day, Esteemed Authors

 

Thank you for the opportunity to read the manuscript. I think the article has potential, and the topic can be considered current.

 

However, I have a few comments and questions that I believe were not addressed in the article.

 

1. The article does not explain what is so unusual about the rate of return on shares of the analyzed companies. There is also no information and division in the middle of the article into companies that invest / announce / declare activities in the context of sustainable development. However, such a division was presented in the methodology.

 

2. The article lacks information on why the analysis period was divided into two parts: 2.01.2020-31.03.2020 and 02.01.2020-23.02.2020. Why are there no calculations for the period 24.02.2020-31.03.2020. (Table 2).

 

3. The article mentions "Accordingly, the volatility of company stock prices was measured by the abnormal return based on the market model, proposed by MacKinlay (MacKinlay, 1997)". Please explain. Is the abnormal rate of return mentioned in the title the fact of using the abnormal rate of return developed by MacKinlay? If so, it is worth including this in the title of the article and presenting the formula in the mmethodology.

 

4. The article lacks characteristics of the companies selected for analysis!

 

5. The article only examined one hypothesis, so it is worth calling it "Main research hypothesis" and abandoning the numbering.

 

6. The article lacks a chart or data showing the dynamics of the rate of return of the selected companies. There is only a chart regarding the VN-index. According to the content of the article, it includes 100 companies, and the research is conducted for 116 companies. The chart also presents stock quotes, not rates of return.

 

Yours sincerely

Author Response

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Author Response File: Author Response.pdf

Reviewer 3 Report

Comments and Suggestions for Authors

For the market model, what was the estimation period?

As an event study, why not use just WHO March 11 as date zero. This would be cleaner, since news of COVID had been coming out slowly since Fall 2019. Which would also imply some contamination of the two event periods employed.

VNSI has 20 companies, but you have 41 companies of the 107 as sustainable strategies. Should the 21 that dropped out of the index still be considered sustainable for the event period?

Writing could be tighter and less stilted. Example, don't use scientific studies of the stock market. Scientific is unnecessary and confusing. Studies is sufficient. (Line 60 and elsewhere) .

Main Design Issues:

Definition of sustainable strategies companies (those considered as part of VNSI July 2017 to March 2020). Weak definition.

Market model estimation period not discussed (daily data?, time period for estimation?)

Suggest industry control if possible.

Comments on the Quality of English Language

Writing could be tighter and less stilted. Example, don't use scientific studies of the stock market. Scientific is unnecessary and confusing. "Studies" is sufficient. (Line 60 and elsewhere) .

Author Response

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Author Response File: Author Response.pdf

Round 2

Reviewer 1 Report

Comments and Suggestions for Authors

The current model setup is problematic due to a frequency mismatch. Before considering publication, the authors must either adjust their methodology or provide strong justifications for their approach. Otherwise, their findings may be statistically unreliable.

While the COVID variable can be used to measure the shock effect, the sustainability index cannot be treated in the same way. The explanatory variable (sustainability index) remains constant over the sample period (January–March 2020), whereas the dependent variable (abnormal stock return) and some control variables fluctuate daily. This creates an inconsistency, as the regression is treating a time-invariant variable as if it influences daily stock returns.

Additionally, some data are based on daily observations, while others (such as assets and financial leverage) are likely quarterly. The authors need to explicitly explain how a time-invariant sustainability index can influence daily stock returns in a standard regression model. Given that the sustainability index does not change daily, its explanatory power in a daily stock return regression is questionable and may introduce bias or weak estimations.

To improve the reliability of the results, I recommend:

1. Removing the sustainability index from the analysis.
2. Ensuring all data have consistent time intervals (e.g., using quarterly or monthly data instead of mixing daily and fixed variables).

Author Response

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Author Response File: Author Response.pdf

Reviewer 3 Report

Comments and Suggestions for Authors

Thank you for the responses to my questions.

Author Response

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Author Response File: Author Response.pdf

Round 3

Reviewer 1 Report

Comments and Suggestions for Authors

Thanks for the revisions. 

Comments on the Quality of English Language

Thanks for the revisions.