| Popis: |
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. |
