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Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence.

Brzeszczyński, Janusz; Gajdka, Jerzy; Pietraszewski, Piotr; Schabek, Tomasz

Authors

Janusz Brzeszczyński

Jerzy Gajdka

Piotr Pietraszewski

Tomasz Schabek



Abstract

In this study, we investigate changes in risk of socially responsible investments (SRI) companies in the periods before and during the COVID-19 pandemic relying on a broad dataset covering SRI indices from 35 markets analyzed between 2016 and 2021. Our results provide evidence that the systematic risk of the SRI firms, measured by the beta coefficient, increased in most countries around the world during the COVID-19 period. However, some markets in our sample show remarkable resilience and stability in terms of the changes in their risk patterns. In particular, the systematic risk of SRI companies from the markets in East Asia decreased during the COVID-19 pandemic, which contrasts with substantial increases in the systematic risk of the SRI firms from the SRI indices in all other regions around the world.

Citation

BRZESZCZYŃSKI, J., GAJDKA, J., PIETRASZEWSKI, P. and SCHABEK, T. 2022. Has the risk of socially responsible investments (SRI) companies stocks changed in the COVID-19 period? International evidence. Finance research letters [online], 49, article 102986. Available from: https://doi.org/10.1016/j.frl.2022.102986

Journal Article Type Article
Acceptance Date May 16, 2022
Online Publication Date May 19, 2022
Publication Date Oct 31, 2022
Deposit Date Jan 16, 2023
Publicly Available Date Mar 29, 2024
Journal Finance research letters
Print ISSN 1544-6123
Electronic ISSN 1544-6131
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 49
Article Number 102986
DOI https://doi.org/10.1016/j.frl.2022.102986
Keywords Socially responsible investments (SRI); COVID-19 pandemic; Sustainability; Stock marke0t; Risk; Asymmetric beta
Public URL https://rgu-repository.worktribe.com/output/1848988

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