Can SRI funds better resist global financial crisis? Evidence from Japan

Miwa Nakai*, Keiko Yamaguchi, Kenji Takeuchi

*この研究の対応する著者

研究成果: Article査読

21 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)12-20
ページ数9
ジャーナルInternational Review of Financial Analysis
48
DOI
出版ステータスPublished - 2016 12月 1
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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