Socially Responsible Investing in Good and Bad Times
Publication
, Journal Article
Bansal, R; Wu, DA; Yaron, A
Published in: Review of Financial Studies
April 1, 2022
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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Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
April 1, 2022
Volume
35
Issue
4
Start / End Page
2067 / 2099
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory
Citation
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ICMJE
MLA
NLM
Bansal, R., Wu, D. A., & Yaron, A. (2022). Socially Responsible Investing in Good and Bad Times. Review of Financial Studies, 35(4), 2067–2099. https://doi.org/10.1093/rfs/hhab072
Bansal, R., D. A. Wu, and A. Yaron. “Socially Responsible Investing in Good and Bad Times.” Review of Financial Studies 35, no. 4 (April 1, 2022): 2067–99. https://doi.org/10.1093/rfs/hhab072.
Bansal R, Wu DA, Yaron A. Socially Responsible Investing in Good and Bad Times. Review of Financial Studies. 2022 Apr 1;35(4):2067–99.
Bansal, R., et al. “Socially Responsible Investing in Good and Bad Times.” Review of Financial Studies, vol. 35, no. 4, Apr. 2022, pp. 2067–99. Scopus, doi:10.1093/rfs/hhab072.
Bansal R, Wu DA, Yaron A. Socially Responsible Investing in Good and Bad Times. Review of Financial Studies. 2022 Apr 1;35(4):2067–2099.
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
April 1, 2022
Volume
35
Issue
4
Start / End Page
2067 / 2099
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory