Fiordelisi, Franco and Galloppo, Giuseppe and Lattanzio, Gabriele and Paimanova, Viktoriia (2023) Looking at Socially Responsible Investment Strategies Through the Lenses of the Global ETF Industry. Journal of International Money and Finance, 137. p. 102917. DOI https://doi.org/10.1016/j.jimonfin.2023.102917
Fiordelisi, Franco and Galloppo, Giuseppe and Lattanzio, Gabriele and Paimanova, Viktoriia (2023) Looking at Socially Responsible Investment Strategies Through the Lenses of the Global ETF Industry. Journal of International Money and Finance, 137. p. 102917. DOI https://doi.org/10.1016/j.jimonfin.2023.102917
Fiordelisi, Franco and Galloppo, Giuseppe and Lattanzio, Gabriele and Paimanova, Viktoriia (2023) Looking at Socially Responsible Investment Strategies Through the Lenses of the Global ETF Industry. Journal of International Money and Finance, 137. p. 102917. DOI https://doi.org/10.1016/j.jimonfin.2023.102917
Abstract
Environmental, Social, and Governance (ESG) ratings feature statistical and economic problems undermining their reliability as valid proxies for corporates’ social performance. To overcome this ratings providers specific bias, we focus on global sample of ESG-oriented Exchange Traded Funds (ETFs). Studying passive and pre-committed strategies provide us with several economic and econometric advantages, allowing us to document that Socially Responsible Investments (SRI)-oriented strategies generate significantly higher average stock market returns and liquidity. However, the identified overperformance is concentrated in months of extreme climate activity, while the effect reverses during financial crises. These findings confirm that investors react to non-pecuniary shocks by increasing the weights assigned to SRI investments in their portfolio, but their preference shifts back towards traditional strategies during economic downturns.
Item Type: | Article |
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Uncontrolled Keywords: | Sustainable Investments; Climate Change; Natural Disasters; ETF |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 19 Jul 2023 21:29 |
Last Modified: | 07 Aug 2024 16:42 |
URI: | http://repository.essex.ac.uk/id/eprint/35995 |
Available files
Filename: 1-s2.0-S0261560623001183-main.pdf
Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 4.0
Embargo Date: 15 January 2025