Has the Risk of Socially Responsible Investments (SRI) Companies Stocks Changed in the COVID-19 Period? International Evidence

Brzeszczyński, Janusz, Gajdka, Jerzy, Pietraszewski, Piotr and Schabek, Tomasz (2022) Has the Risk of Socially Responsible Investments (SRI) Companies Stocks Changed in the COVID-19 Period? International Evidence. Finance Research Letters. p. 102986. ISSN 1544-6123 (In Press)

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Official URL: https://doi.org/10.1016/j.frl.2022.102986

Abstract

In this study, we investigate changes in risk of Socially Responsible Investments (SRI) companies in the periods before and during the COVID-19 pandemic relying on a broad dataset covering SRI indices from 35 markets analysed between 2016 and 2021. Our results provide evidence that the systematic risk of the SRI firms, measured by the beta coefficient, increased in most countries around the world during the COVID-19 period. However, some markets in our sample show remarkable resilience and stability in terms of the changes in their risk patterns. In particular, the systematic risk of SRI companies from the markets in East Asia decreased during the COVID-19 pandemic, which contrasts with substantial increases in the systematic risk of the SRI firms from the SRI indices in all other regions around the world.

Item Type: Article
Additional Information: Funding information: This work was supported by the research funding from the National Science Centre / Narodowe Centrum Nauki (NCN) in Poland (project number: 2019/33/B/HS4/01095).
Uncontrolled Keywords: Socially Responsible Investments (SRI), COVID-19 Pandemic, Sustainability, Stock Market, Risk, Asymmetric Beta
Subjects: L100 Economics
N300 Finance
N400 Accounting
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Elena Carlaw
Date Deposited: 20 May 2022 10:43
Last Modified: 23 Jun 2022 14:15
URI: http://nrl.northumbria.ac.uk/id/eprint/49160

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