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Can SRI Funds Better Resist Global Financial Crisis? Evidence from Japan

Listed author(s):
  • Miwa Nakai

    (Presidential Endowed Chair for "Platinum Society", The University of Tokyo, Ito International Research Center)

  • Keiko Yamaguchi

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

  • Kenji Takeuchi

    (Graduate School of Economics, Kobe University)

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.

(This abstract was borrowed from another version of this item.)

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File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2015/1530.pdf
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Paper provided by Graduate School of Economics, Kobe University in its series Discussion Papers with number 1530.

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Length: 29 pages
Date of creation: Sep 2015
Handle: RePEc:koe:wpaper:1530
Contact details of provider: Web page: http://www.econ.kobe-u.ac.jp
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