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Can SRI funds better resist global financial crisis? Evidence from Japan

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  • Nakai, Miwa
  • Yamaguchi, Keiko
  • Takeuchi, Kenji

Abstract

This paper compared Socially Responsible Investment (SRI) funds and conventional funds in the Japanese market with respect to the impact of the global financial crisis in 2008. Taking the bankruptcy of Lehman Brothers as a particular event, we estimated the average cumulative abnormal returns of both funds by event study methodology using a Fama–French three-factor model and EGARCH model. Our results suggest that SRI funds better resisted the bankruptcy of the Lehman Brothers than conventional funds. We also found that this result can be attributed to the existence of international funds, possibly because investors might evaluate the CSR activities of international firms more than those of domestic firms. Alternatively, it can be interpreted that the universe of domestic SRI funds is too limited to enjoy risk diversification.

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  • Nakai, Miwa & Yamaguchi, Keiko & Takeuchi, Kenji, 2016. "Can SRI funds better resist global financial crisis? Evidence from Japan," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 12-20.
    • Handle: RePEc:eee:finana:v:48:y:2016:i:c:p:12-20
    DOI: 10.1016/j.irfa.2016.09.002
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    8. Helen Chiappini & Gianfranco A. Vento, 2018. "Socially Responsible Investments and their Anticyclical Attitude during Financial Turmoil Evidence from the Brexit shock," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(1), pages 1-4.
    9. Dunbar, Kwamie & Treku, Daniel & Sarnie, Robert & Hoover, Jack, 2023. "What does ESG risk premia tell us about mutual fund sustainability levels: A difference-in-differences analysis," Finance Research Letters, Elsevier, vol. 57(C).
    10. Igor Kravchuk, 2022. "Performance of Equity Fund Investment Strategies in Poland," Sustainability, MDPI, vol. 14(20), pages 1-12, October.
    11. Zhang, Ning & Zhang, Yue & Zong, Zhe, 2023. "Fund ESG performance and downside risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 86(C).
    12. Susilo Nur Aji Cokro Darsono & Wing-Keung Wong & Tran Thai Ha Nguyen & Dyah Titis Kusuma Wardani, 2022. "The Economic Policy Uncertainty and Its Effect on Sustainable Investment: A Panel ARDL Approach," JRFM, MDPI, vol. 15(6), pages 1-17, June.
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    20. Lars Hornuf & Gül Yüksel, 2022. "The Performance of Socially Responsible Investments: A Meta-Analysis," CESifo Working Paper Series 9724, CESifo.

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    More about this item

    Keywords

    Socially responsible investment; Event study; Financial crisis;
    All these keywords.

    JEL classification:

    • A13 - General Economics and Teaching - - General Economics - - - Relation of Economics to Social Values
    • G01 - Financial Economics - - General - - - Financial Crises
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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