Has the Risk of Socially Responsible Investments (SRI) Companies Stocks Changed in the COVID-19 Period? International Evidence

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

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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 analysed 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.
Original languageEnglish
Article number102986
JournalFinance Research Letters
Early online date19 May 2022
DOIs
Publication statusE-pub ahead of print - 19 May 2022

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