Socially Responsible Investing Strategies under Pressure: Evidence from COVID-19

41 Pages Posted: 19 Feb 2021

See all articles by Gunther Capelle-Blancard

Gunther Capelle-Blancard

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES); PSB Paris School of Business

Adrien Desroziers

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)

Olivier David Zerbib

Tilburg University - Tilburg University School of Economics and Management; University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA); National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

Date Written: January 01, 2021

Abstract

By matching socially responsible (SR) stock indices worldwide with their conventional benchmarks, we study the resilience of SR investment strategies during the COVID-19 crisis. Overall, SR indices exhibited dynamics very similar to their benchmarks. Our sample is composed of 573 SR stock indices from MSCI, STOXX, and FTSE. In the first half of 2020, the average daily return was –0.11% for SR indices and their benchmarks, with annualized volatility of 40% for each. SR indices remained very close to their benchmarks during both the “fever period” (Feb. 24-Mar. 20) and the “rebound period” (Mar. 23-May 29). However, financial performances of SR strategies exhibit substantial heterogeneity: SR impact strategies slightly out-performed their benchmarks. In addition, the resilience of SR strategies was a little stronger in countries where and during periods when the number of COVID-19 cases increased.. In robustness checks, we control for public attention to the COVID-19 pandemic, as well as the economic effects of new policies implemented during the crisis, including lockdowns, and fiscal and monetary policy changes. These findings call for a selective investment strategy by SR investors if they expect that their preferences also deliver financial outperformance in times of crisis.

Keywords: COVID-19, Socially Responsible Investing, Corporate Social Responsibility, ESG performance, Passive management

JEL Classification: G12, G11

Suggested Citation

Capelle-Blancard, Gunther and Desroziers, Adrien and Zerbib, Olivier David, Socially Responsible Investing Strategies under Pressure: Evidence from COVID-19 (January 01, 2021). Available at SSRN: https://ssrn.com/abstract=3788419 or http://dx.doi.org/10.2139/ssrn.3788419

Gunther Capelle-Blancard

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) ( email )

106-112 Boulevard de l'hopital
106-112 Boulevard de l'Hôpital
Paris Cedex 13, 75647
France

PSB Paris School of Business ( email )

59 rue Nationale
Paris, 75013
France

Adrien Desroziers (Contact Author)

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) ( email )

106-112 Boulevard de l'hopital
106-112 Boulevard de l'Hôpital
Paris Cedex 13, 75647
France

Olivier David Zerbib

Tilburg University - Tilburg University School of Economics and Management ( email )

PO Box 90153
Tilburg, 5000 LE Ti
Netherlands

University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) ( email )

50, Avenue Tony Garnier
Lyon Cedex 07, 69366
France

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) ( email )

5 avenue Henry Le Chatelier
Palaiseau, 91764
France

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