Does responsible investing pay during economic downturns: Evidence from the COVID-19 pandemic

We investigate the performance of SRI/ESG investments against conventional investments during the COVID-19 pandemic. Although previous studies have examined the performance of SRI during financial crises, little is known about their performance during the COVID-19 crisis. Applying asset-pricing models, we analyze returns, abnormal returns, and the Sharpe ratio of the ESG ETFs in the US and the MSCI SRI indices for the world, the US, Japan, and Europe before and during the pandemic period vis-`a-vis conventional investments. Our results confirm the greater outperformance of SRI indices during the pandemic. These findings have academic and practical implications.