Are SRI Funds More Resilient towards the Global Financial Crisis?
AbstractThis 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.
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Bibliographic InfoPaper provided by Graduate School of Economics, Kobe University in its series Discussion Papers with number 1018.
Date of creation: Feb 2011
Date of revision:
SRI; Event study; Financial crisis;
Find related papers by 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 - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-19 (All new papers)
- NEP-CIS-2011-02-19 (Confederation of Independent States)
- NEP-HME-2011-02-19 (Heterodox Microeconomics)
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