Table 4.

Abnormal returns of SRI/ESG funds/indices during the COVID-19 pandemic.

	Funds	MSCI SRI Indices
	ESG Funds	World	US	Japan	Europe
Ave. Ab. Return	-0.004	0.089⁎⁎	0.107*	0.082	0.155⁎⁎
Diff. Ab. Return	-0.097	0.045	0.071	0.033	0.086⁎⁎

Notes: The table presents the abnormal returns of SRI/ESG. “Ave. Ab. Return” is the average abnormal returns obtained during the COVID-19 pandemic and the tests are conducted with the hypotheses of “H0: Abnormal Returns During COVID-19 = 0, Ha: Abnormal Returns During COVID-19 > 0”. “Ab. Diff. Return” is the difference in the average abnormal returns before and during the COVID-19 period (during pandemic – before pandemic). The tests are conducted with the hypotheses of “H0: Difference in Abnormal Returns = 0, Ha: Difference in Abnormal Returns > 0”. The abnormal return is estimated by taking the difference between actual and expected returns. The expected return is calculated on an out-of-sample basis using Eq. (3). For Ave. Ab. Return, the period of 2 years prior to the start of the pandemic is used to obtain the coefficients for the expected return estimation. For Diff. Ab. Return, to avoid in-sample bias in the abnormal return estimation for before COVID-19, we use the sample during 2018 to estimate the coefficients and then use them to estimate the out-of-sample expected returns for before 2019 and during the COVID-19 period. Information on the COVID-19 cases is obtained from Johns Hopkins University. ***, **, and * indicate the coefficient is significant at the 10, 5, and 1% levels, respectively.