Are SRI Funds More Resilient towards the Global Financial Crisis?
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.
When requesting a correction, please mention this item's handle: RePEc:koe:wpaper:1018. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Econ Kobe SysAdmin)
If references are entirely missing, you can add them using this form.