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Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence

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  • Brzeszczyński, Janusz
  • Gajdka, Jerzy
  • Pietraszewski, Piotr
  • Schabek, Tomasz

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 analyzed 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.

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  • Brzeszczyński, Janusz & Gajdka, Jerzy & Pietraszewski, Piotr & Schabek, Tomasz, 2022. "Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002343
    DOI: 10.1016/j.frl.2022.102986
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    More about this item

    Keywords

    Socially responsible investments (SRI); COVID-19 pandemic; Sustainability; Stock market; Risk; Asymmetric beta;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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