Are SRI Funds More Resilient Towards The Global Financial Crisis?
Source: Kobe University
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, the authors estimated the average cumulative abnormal returns of both SRI funds and conventional funds. The 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.