Are SRI Funds More Resilient towards the Global Financial Crisis?

Miwa Nakai, Keiko Yamaguchi and Kenji Takeuchi
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Miwa Nakai: Graduate School of Economics, Kobe University
Keiko Yamaguchi: Graduate School of Humanities and Social Sciences, Okayama University

No 1018, Discussion Papers from Graduate School of Economics, Kobe University

Abstract: This paper compares the resilience of Socially Responsible Investment (SRI) funds with that of conventional funds towards the global financial crisis by using an event study methodology. Taking the bankruptcy of Lehman Brothers as the particular event, we estimated the average cumulative abnormal returns of both SRI funds and conventional funds. Our results show that SRI funds are more resilient to such a shock. Similar results are obtained by an estimation with a market model that accounts for ARCH effects.

Keywords: SRI; Event study; Financial crisis (search for similar items in EconPapers)
JEL-codes: A13 G01 M14 (search for similar items in EconPapers)
Pages: 27pages
Date: 2011-02
New Economics Papers: this item is included in nep-cis and nep-hme
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Citations: View citations in EconPapers (2)

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