Table 3.

Excess performance of SRI/ESG funds/indices before vs. during the COVID-19 pandemic.

	Funds	MSCI SRI Indices
	ESG Funds	World	US	Japan	Europe
Diff. Exc. Return	-0.104	0.049*	0.057	0.037	0.101⁎⁎
Diff. Exc. Sharpe	-0.088	0.084*	0.076	0.029	0.134⁎⁎

Notes: The table provides the results of t-tests comparing the excess returns of SRI/ESG funds/indices (excess to the MSCI Indices) before and during the COVID-19 pandemic (H0: Excess SRI Index/Fund During COVID-19 = Before COVID-19, Ha: Excess SRI Index/Fund During COVID-19 > Before COVID-19). “Diff. Exc. Return” presents the difference in the excess returns between before and during the COVID-19 pandemic. “Diff. Exc. Sharpe” shows the differences in the Sharpe ratios. The Sharpe ratios are estimated using the 30-trading-day rolling standard deviations of the annualized excess returns. t-tests are conducted. ***, **, and * indicate the coefficient is significant at the 10, 5, and 1% levels, respectively.