Socially Responsible Investing in Good and Bad Times

被引：48

作者：

Bansal, Ravi ^{[1
,2
]}

Wu, Di ^{[3
]}

Yaron, Amir ^{[2
,4
]}

机构：

[1] Duke Univ, Fuqua Sch Business, Durham, NC 27706 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Univ Michigan, Stephen M Ross Sch Business, Ann Arbor, MI 48109 USA

[4] Univ Penn, Bank Israel Wharton Sch, Philadelphia, PA 19104 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2022年 / 35卷 / 04期

关键词：

G11; G19; G40; CORPORATE GOVERNANCE; LEAD;

D O I：

10.1093/rfs/hhab072

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the time variability of abnormal returns from socially responsible investing (SRI). Using portfolio regressions and event studies on multiple data sources, including analyst ratings, firm announcements, and realized incidents, we find that highly rated SRI stocks outperform lowly rated SRI stocks during good economic times, for example, periods with high market valuations or aggregate consumption, but underperform during bad times, such as recessions. This variation in abnormal returns of high-SR stocks vis-a-vis low SR stocks is consistent with a wealth-dependent investor preference for SR stocks that leads to an increased (decreased) demand for SRI during good (bad) times.

引用

页码：2067 / 2099

页数：33

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