This paper examines the determinants of the inclusion of companies in the Dow Jones STOXX Sustainability Index. In doing so, the paper contributes to the literature regarding the relationship between corporate sustainability and economic performance in three aspects: First of all, it considers a broad measure of corporate sustainability performance and thus does not use narrow approaches such as toxic releases. Since it analyzes the assessment of corporate sustainability performance by an

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... ndent institution, the paper also examines specific effects that depend on the internal assessment process. Finally, the paper examines the influence of unobserved firm characteristics in the framework of panel data models for the time period from 1999 to 2003. The preliminary panel probit analysis with European companies in the Dow Jones STOXXSM 600 Index shows that unobserved heterogeneity, measured by time invariant random effects and an autoregressive structure in the stochastic components, is an important factor. Furthermore, the probability to be part of the Dow Jones STOXX Sustainability Index strongly decreases if a company does not respond to the written survey. Economic performance in the past surprisingly has no significant influence or even a weakly negative influence on the inclusion in this sustainability stock index. We conclude that the internal assessment process matters for the view on corporate sustainability performance. Another conclusion is that due to the strong state dependence (289 out of the examined 323 companies either are included or not in the Dow Jones STOXX Sustainability Index during the entire observation period), biased and inconsistent estimations are likely if the determinants of corporate sustainability performance are investigated with cross-sectional data.