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عنوان فارسی مقاله:
بهبود صندوق های سرمایه گذاری اجتماعی مسئولانه در برابر بحران مالی جهانی؟ شواهد از ژاپن
عنوان انگلیسی مقاله:
Can SRI funds better resist global financial crisis? Evidence from Japan
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مقدمه انگلیسی مقاله:
1. Introduction
ocially Responsible Investment (SRI) is an investment processusing positive or negative screening that promotes investment deci-sions based not only onfinancial performance but also on the value ofcorporate social responsibility (CSR). Already, SRI is used in manymajorfinancial markets.The Global Sustainable Investment Alliance(2015)has reported that the respective proportions of SRI to total man-agement assets in Europe and the United States are 58.8% and 17.9%.As a reflection of the popularity of SRI in Western countries, a con-siderable amount of academic literature addresses SRI.1These studiesare divisible into two categories. Thefirst category encompasses re-search discussing whether SRI funds outperform or underperformfunds that are not socially screened. In a study ranking among the earli-est research to compare the performance of SRI and conventional funds,Hamilton, Jo, and Statman (1993)used the monthly return data of equi-ty mutual funds in the United States and measured performance usingthecapitalasset pricingmodel(CAPM) (Jensen,1968). Results indicatedthat the market did not value the non-financial benefits of SRI funds. Inline withHamilton et al. (1993), SRI fund performance has also beenfound to not differ significantly from those of conventional funds ac-cording to data from many nations: the United States (Climent &Soriano, 2011; Gil–Bazo, Ruiz–Verdú, & Santos, 2010; Goldreyer,Ahmed, & Diltz, 1999); the United Kingdom (Gregory, Matatko, &Luther, 1997); the United Kingdom, the Netherlands, Sweden, andGermany (Kreander, Gray, Power, & Sinclair, 2005); Germany, theUnited Kingdom, and the United States (Bauer, Koedijk, & Otten,2005 ); Australia (Bauer, Otten, & Rad, 2006); Canada (Bauer, Derwall,& Otten, 2007); European countries (Ziegler, 2009; Ziegler, Schröder,& Rennings, 2007), 17 countries worldwide (Renneboog, Horst, &Zhang, 2008); and Japan, the United States, and some European coun-tries (Ito, Managi, & Matsuda, 2013). The general conclusions of thesestudies are that the difference between SRI and conventional funds isnot significant, although results apparently depend on the time andplace analysed (Renneboog et al., 2008).More recently,Bollen (2007)raised the interesting question ofwhether investor behaviour related to SRI and conventional funds dif-fers, a question that characterises the second category of studies ad-dressing SRI. From examination of the relation between fundflowsand returns for SRI funds, he found that SRI funds were more sensitiveto lagged positive returns and were less sensitive to negative returnsrelative to conventional funds. Some studies have expanded the studyof Bollen (2007)by additionally considering screening types and fundcharacteristics such as age, size, risk and fee structure (Renneboog,Horst, & Zhang, 2011), or current and/or past returns as well as laggedflow ( Benson & Humphrey, 2008) as independent variables. Similarlyto Bollen (2007), they found that SRI investors cared about returns less than their conventional counterparts, which accords with the hy-pothesis that investors in SRI funds obtain some additional non-financial utility to investors.As described in this paper, we compare SRI to conventional fundsfrom a perspective that differs from that of the studies describedabove: their reaction tofinancial crises. Results of earlier studies suggestthat investors do not regard SRI as entailing special costs, at least be-cause no difference in performance exists between SRI and convention-al funds. In terms of investor behaviour, SRI investors are more loyalthan conventional investors. In fact, SRI funds are more sensitive tolagged positive returns but less so to negative returns (Bollen, 2007).Therefore, although most countries worldwide have recently experi-enced a marked economic downturn, SRI investors might have retainedtheir investments rather than selling them. In fact, the SRI performancemight have suffered from thefinancial crisis. However, if the CSR activ-ity was evaluated positively by the market, then the decrease in thereturns of SRI can be expected to be less than those of conventional in-vestments. Our hypothesis is that SRI funds have resisted the negativeeffects of the recent global recession better than conventional funds.To assess this hypothesis, we adopted event study methodology.Event studies cast light on how unanticipated events affect changes infund prices, given that the market is efficient. The unanticipated eventspecifically examined herein is the Lehman Brothers bankruptcyfiling,a critical moment during the globalfinancial crisis that triggered furtherdrops in stock prices and even greater economic losses. Among the fewstudies conducted in pursuit of a similar research objective,Nofsingerand Varma (2014)compared the performance of US SRI and conven-tional mutual funds during periods of crisis, particularly March 2000–October 2002 as the technology bubble burst, and October 2007–March 2009 during the globalfinancial crisis, in addition to periods ofnon-crisis other than those two crisis periods during 2000–2011. Theirestimation results showed that SRI funds significantly outperformedconventional ones during the crises, although the opposite result wasobtained during the non-crisis period. They added that this asymmetricpattern was driven by SRI funds stipulating environmental, social andgovernance (ESG) positive screening.More recently,Becchetti, Ciciretti, Dalò, and Herzel(2015)examinedthe performance of SRI and conventional funds during January 1992–April 2012 with both a market model and a multifactor model. Theyfound that, during the globalfinancial crisis from December 2007–June 2009, SRI funds also significantly outperformed conventionalones in all markets except those in North America, but did not show dif-ferent performance when the technology bubble burst during March–November 2001. Moreover, they expanded theirfindings by revealingthat the limited diversification constraint did not notably lower SRIperformance.At the same time,Leite and Cortez (2015)compared the perfor-mance of SRI and conventional funds during market crises in France:the period until the technology bubble burst (January 2001–March2003), the globalfinancial crisis (June 2007–February 2009), and theeuro sovereign debt crisis (May 2011–May 2012). Their principalfind-ing was that SRI funds significantly underperformed compared to con-ventional funds during non-crisis periods.Leite and Cortez (2015)discovered that the difference between SRI and conventional fundswas not significant during crises. Although SRI funds achieved returnscomparable to those of conventional funds during crises, they were un-able to provide additional protection to investors at such times. Theseauthors demonstrated that the inferior performance of SRI duringnon-crisis periods wasspurred by funds employingnegative screenings.In fact, SRI funds with positive screenings showed no significant differ-ences in performance when compared with conventional funds.Although these studies provide a broad perspective on the resilienceof SRI funds duringcrises, they have also all identified long-term periodsof market crises lasting 1–2 years. In this sense, their results might ac-commodate the effects of other events or factors on fund performanceduring times of crisis. In contrast to these studies, our study identifieseventslastingthreedays only, meaningthat resultscan show theimme-diate effects offinancial crises on fund performance. According to a sur-vey of individual investors in Japan (Japan Securities DealersAssociation, 2014), the most important determinant of investment isstability and low risk. Consequently, this study can provide informationthat is useful to stakeholders for exploring the resilience of SRI from ashort-term perspective on top of mid-term and long-term perspectivesthat earlier studies used. Although the Japanese SRI market remains inits development stage, an assessment of the potential effects of SRI isworthwhile, given its expected growth attributable to the steadygrowth of pension funds. Because studies of Japanese SRI performance(Ito et al., 2013; Nakai, Yamaguchi, & Takeuchi, 2013; Nakajima, 2011)have not investigated how market crises affect fund performance, ourstudy canfill a gap in current knowledge of SRI, especially for Japan.The remainder of this paper is structured as follows. AfterSection 2presents a description of the data,Section 3introduces the eventstudy method, along with the EGARCH model and Fama–Frenchthree-factor model. Estimated results are summarised inSection 4,followed by an explanation of the significance of results inSection 5and a summary offindings inSection 6.
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کلمات کلیدی:
Can SRI Funds Better Resist Global Financial Crisis ... - ResearchGatehttps://www.researchgate.net/.../308003918_Can_SRI_Funds_Better_Resist_Global_Fina...Jan 20, 2017 - This paper compared Socially Responsible Investment (SRI) funds and conventional funds in the Japanese market with respect to the impact of ...Can SRI Funds Better Resist Global Financial Crisis ... - SocioRePEchttps://sociorepec.org/publication.xml?h=repec:koe:wpaper:1530&l=enkeywords, Socially responsible investment, event study, financial crisis ... conventional investment funds: performance comparison and the global financial crisis;.Can SRI funds better resist global financial crisis? Evidence from ...isi-dl.com/item/198621... wiley.com, worldscientific.com. SEARCH. Can SRI funds better resist global financial crisis? Evidence from Japan. sciencedirect.com. Source Link ...Can SRI Funds Better Resist Global Financial Crisis? - JAIROjairo.nii.ac.jp/0006/00022900Translate this pageOct 5, 2015 - Can SRI Funds Better Resist Global Financial Crisis? Evidence from JapanCan SRI Funds Better Resist Global Financial Crisis? Evidence from ...Investigators at University of Tokyo Report Findings in Financial Analysiswww.4-traders.com › NewsJan 12, 2017 - Investigators at University of Tokyo Report Findings in Financial Analysis (Can SRI funds better resist global financial crisis? Evidence from ...Case: Sustainable Investing: Pax World Helping Investors Change the ...https://saylordotorg.github.io/text_the.../s16-case-sustainable-investing-pax.htmlIn a speech to the Boston Economic Club on June 15, 2010, Joseph Keefe, ... In each case, they will need to become more sustainable—which means, among other ... Understand why many investors were reluctant to invest in SRI funds. ..... other investment funds, were larger in assets before the financial crisis of 2008–9.
