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
57 articles.
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