TY - JOUR
T1 - Can SRI funds better resist global financial crisis? Evidence from Japan
AU - Nakai, Miwa
AU - Yamaguchi, Keiko
AU - Takeuchi, Kenji
PY - 2016/12/1
Y1 - 2016/12/1
N2 - 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.
AB - 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.
KW - Event study
KW - Financial crisis
KW - Socially responsible investment
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U2 - 10.1016/j.irfa.2016.09.002
DO - 10.1016/j.irfa.2016.09.002
M3 - Article
AN - SCOPUS:84995449788
SN - 1057-5219
VL - 48
SP - 12
EP - 20
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
ER -