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

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  • Nakai, Miwa
  • Yamaguchi, Keiko
  • Takeuchi, Kenji
Abstract
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.

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  • Nakai, Miwa & Yamaguchi, Keiko & Takeuchi, Kenji, 2016. "Can SRI funds better resist global financial crisis? Evidence from Japan," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 12-20.
    • Handle: RePEc:eee:finana:v:48:y:2016:i:c:p:12-20
    DOI: 10.1016/j.irfa.2016.09.002
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    More about this item

    Keywords

    Socially responsible investment; Event study; Financial crisis;
    All these keywords.

    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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