Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis
Gunther Capelle-Blancard,
Adrien Desroziers and
Olivier Zerbib
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Abstract:
By matching socially responsible (SR) stock indexes worldwide with their conventional benchmarks, the authors study the resilience of SR investment strategies during the COVID-19 crisis. Overall, SR indexes exhibited dynamics very similar to their benchmarks. The sample is composed of 573 SR stock indexes from MSCI, STOXX, and FTSE. In the first half of 2020, the average daily return was –0.11% for SR indexes and their benchmarks, with annualized volatility of 40% for each. SR indexes remained very close to their benchmarks during both the fever period (February 24–March 20) and the rebound period (March 23–May 29). The financial performance of SR strategies shows substantial heterogeneity, however, with SR impact strategies slightly outperforming their benchmarks. In addition, the resilience of SR strategies was a little stronger in countries and during periods in which the number of COVID-19 cases was increasing. In robustness checks, the authors control for public attention to the COVID-19 pandemic, as well as the economic effects of new policies implemented during the crisis, including lockdowns, and fiscal and monetary policy changes. Their findings call for careful SR investment selection because not all such investments have provided equal returns in the face of the COVID pandemic.
Keywords: Security analysis and valuation; mutual funds/passive investing/indexing; ESG investing; performance measurement (search for similar items in EconPapers)
Date: 2021-09-04
References: Add references at CitEc
Citations: View citations in EconPapers (4)
Published in Journal of portfolio management, 2021, 47 (9), pp.178-197. ⟨10.3905/jpm.2021.1.288⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Working Paper: Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-03526650
DOI: 10.3905/jpm.2021.1.288
Access Statistics for this paper
More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().