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Does responsible investing pay during economic downturns: Evidence from the COVID-19 pandemic
Open accessAbstract
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-à-vis conventional investments. Our results confirm the greater outperformance of SRI indices during the pandemic. These findings have academic and practical implications.
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“These results are noteworthy because they seem limited to only active sustainable funds.”
From Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic (2022) · cites this paper as Omura, Roca, and Nakai (2021)
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“Other papers find that sustainable ETFs and index funds do not perform well during the early part of the pandemic (Omura et al., 2021 and Pavlova & de Boyrie, 2022).”
From Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic (2022) · cites this paper as Omura et al., 2021
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“Omura, Roca, and Nakai (2021) don't find any superior performance of sustainable exchange-traded funds (ETF) compared to the benchmark indices.”
From Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic (2022) · cites this paper as Omura, Roca, and Nakai (2021)
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Metadata
- Authors
- Omura, A., Roca, E., & Nakai, M.
- Affiliations
- Griffith University (AU)
- Fukui Prefectural University (JP)
- Corresponding author
- Omura, Akihiro
- Venue
- Finance Research Letters
- Publisher
- Elsevier BV
- Published
- 2021-10
- Volume
- 42
- Pages
- 101914
- ISSN
- 1544-6123 (ISSN-L)
- PMC
- PMC9760375
- OpenAlex
- W3113640123
- Cited by
- 142
- References
- 49
- Citations by year
- 2026: 13 · 2025: 28 · 2024: 36 · 2023: 35 · 2022: 25 · 2021: 4
- FWCI
- 16.90
- Type
- journal article
- Language
- en
- Open access
- green
- www.ncbi.nlm.nih.gov
- Locations
- Finance research letters (publishedVersion)
- PubMed Central (publishedVersion)
- PubMed (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Griffith Research Online (submittedVersion, other-oa)
- Funders
- Griffith University
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Sustainable Finance and Green Bonds
- Social Sciences › Business, Management and Accounting › Strategy and Management › Corporate Social Responsibility Reporting
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Keywords
- socially responsible investment, ESG investing, COVID-19 pandemic, economic downturn, abnormal returns, Sharpe ratio, asset pricing, financial crisis
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