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Are SRI Funds More Resilient towards the Global Financial Crisis?

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Author Info

  • Miwa Nakai

    (Graduate School of Economics, Kobe University)

  • Keiko Yamaguchi

    (Graduate School of Humanities and Social Sciences, Okayama University)

  • Kenji Takeuchi

    ()
    (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.

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File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2010/1018.pdf
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Bibliographic Info

Paper provided by Graduate School of Economics, Kobe University in its series Discussion Papers with number 1018.

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Length: 27pages
Date of creation: Feb 2011
Date of revision:
Handle: RePEc:koe:wpaper:1018

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Web page: http://www.econ.kobe-u.ac.jp
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Keywords: SRI; Event study; Financial crisis;

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Cited by:
  1. Miwa Nakai & Tomonori Honda & Nariaki Nishino & Kenji Takeuchi, 2013. "An Experimental Study on Motivations for Socially Responsible Investment," Discussion Papers, Graduate School of Economics, Kobe University 1314, Graduate School of Economics, Kobe University.

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