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Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis

Gunther Capelle-Blancard (), Adrien Desroziers and Olivier David Zerbib
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Olivier David Zerbib: UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - CNRS - Centre National de la Recherche Scientifique

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
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Published in Journal of portfolio management, 2021, 47 (9), pp.178-197. ⟨10.3905/jpm.2021.1.288⟩

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Working Paper: Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis (2021)
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DOI: 10.3905/jpm.2021.1.288

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