Affiliation:
1. Fuqua School of Business, Duke University and NBER
2. Stephen M. Ross School of Business, University of Michigan
3. Bank of Israel, The Wharton School, University of Pennsylvania and NBER
Abstract
Abstract
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, rm announcements, and realized incidents, we nd 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-à-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.
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
36 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Proportional warm-glow theory and asset pricing;Journal of Behavioral and Experimental Finance;2024-03
2. ESG investing in good and bad times: An international study;Journal of International Financial Markets, Institutions and Money;2024-03
3. ESG news and long-run stock returns;Finance Research Letters;2024-02
4. Climate‐related performance and stock price crash risk;Financial Markets, Institutions & Instruments;2024-01-17
5. Corporate Climate Risk: Measurements and Responses;The Review of Financial Studies;2024-01-16