Socially Responsible Investing in Good and Bad Times
Open accessAbstract
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-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.
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Cites
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Climate Change Concerns and the Performance of Green vs. Brown Stocks
Ardia, D., Bluteau, K., Boudt, K., & Inghelbrecht, K. (2023) · Management Science · doi:10.1287/mnsc.2022.4636 · Cited by 639 · see citing works
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A review on ESG investing: Investors' expectations, beliefs and perceptions
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“Under such nonpecuniary motives, SRI may be sensitive to income shocks akin to demand for luxury goods (see Bansal, Wu, and Yaron (2022)).”
Background
- Authors
- Bansal, R., Wu, D. (., & Yaron, A.
- Affiliations
- National Bureau of Economic Research (US)
- University of Michigan (US)
- Bank of Israel (IL)
- Corresponding author
- Wu, Di (Andrew)
- Venue
- The Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2021-06-18
- Volume
- 35
- Issue
- 4
- Pages
- 2067-2099
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3175214068
- Cited by
- 165
- References
- 3
- Citations by year
- 2026: 21 · 2025: 41 · 2024: 39 · 2023: 29 · 2022: 14 · 2021: 8 · 2020: 8 · 2019: 3 · 2018: 1 · 2016: 1
- FWCI
- 20.08
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Licence
- academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model (vor)
- Locations
- Review of Financial Studies (publishedVersion)
- SSRN Electronic Journal (acceptedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- 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
- Social Sciences › Economics, Econometrics and Finance › Finance › Sustainable Finance and Green Bonds
- Keywords
- socially responsible investment, abnormal returns, analyst recommendations, economic conditions, economic recession, market valuation, aggregate consumption, investor preferences, ESG stocks
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