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Are SRI Funds More Resilient towards the Global Financial Crisis?

Author

Listed:
  • 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.

Suggested Citation

  • Miwa Nakai & Keiko Yamaguchi & Kenji Takeuchi, 2011. "Are SRI Funds More Resilient towards the Global Financial Crisis?," Discussion Papers 1018, Graduate School of Economics, Kobe University.
  • Handle: RePEc:koe:wpaper:1018
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    File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2010/1018.pdf
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    Cited by:

    1. Philippe DESBRIERES, 2017. "L’investissement conforme à la Charia est-il socialement responsable ?,Is Shariah compliant investment socially responsible?," Working Papers CREGO 1171001, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    2. Miwa Nakai & Tomonori Honda & Nariaki Nishino & Kenji Takeuchi, 2013. "An Experimental Study on Motivations for Socially Responsible Investment," Discussion Papers 1314, Graduate School of Economics, Kobe University.

    More about this item

    Keywords

    SRI; Event study; Financial crisis;

    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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