Can SRI funds better resist global financial crisis? Evidence from Japan

Miwa Nakai, Keiko Yamaguchi, Kenji Takeuchi

Research output: Contribution to journalArticlepeer-review

41 Citations (Scopus)


This paper compared Socially Responsible Investment (SRI) funds and conventional funds in the Japanese market with respect to the impact of the global financial crisis in 2008. Taking the bankruptcy of Lehman Brothers as a particular event, we estimated the average cumulative abnormal returns of both funds by event study methodology using a Fama–French three-factor model and EGARCH model. Our results suggest that SRI funds better resisted the bankruptcy of the Lehman Brothers than conventional funds. We also found that this result can be attributed to the existence of international funds, possibly because investors might evaluate the CSR activities of international firms more than those of domestic firms. Alternatively, it can be interpreted that the universe of domestic SRI funds is too limited to enjoy risk diversification.

Original languageEnglish
Pages (from-to)12-20
Number of pages9
JournalInternational Review of Financial Analysis
Publication statusPublished - Dec 1 2016


  • Event study
  • Financial crisis
  • Socially responsible investment

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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