دانلود رایگان مقاله بهبود صندوق سرمایه گذاری اجتماعی مسئولانه در برابر بحران مالی جهانی

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.

6. Conclusion

Using event study methodology, we examined the market reaction of SRI funds relative to conventional funds in the Japanese market amid a recent global financial crisis. We chose the Lehman Brothers bankruptcy filing as the momentous event for this study because it is known to have triggered a further drop in stock prices and economic losses during the recession. Empirical results obtained using the Fama–French three-factor model showed that the event significantly increased the performance of SRI funds at the 5% level, whereas a signifi- cant negative effect on conventional funds was estimated. The difference between the two groups of funds was significant at the 1% level. We also found that the resilience of SRI funds during the event was largely attributable to international funds, a possibility given that investors might evaluate the CSR activities of international firms more than those of domestic firms. Alternatively, we can infer that the universe of domestic SRI funds is too limited to enjoy risk diversification. Altogether, we confirmed that SRI funds better resisted the bankruptcy of the Lehman Brothers than conventional funds did. This result might provide useful information to support the diffusion of SRI because stability is regarded as the most important investment factor for individual investors in Japan (Japan Securities Dealers Association, 2014).