Table 5.
Panel regression on the performance of MSCI SRI Indices against conventional MSCI Indices.
| US | Japan | Europe | ||||
|---|---|---|---|---|---|---|
| Before | During | Before | During | Before | During | |
| Con. | -0.0204⁎⁎⁎ | -0.155⁎⁎⁎ | -0.00725* | -0.16⁎⁎⁎ | -0.0129 | -0.15* |
| Mkt. Return | 2.298⁎⁎⁎ | 2.336⁎⁎⁎ | 2.097⁎⁎⁎ | 2.081⁎⁎⁎ | 2.212⁎⁎⁎ | 2.371⁎⁎⁎ |
| SMB | -0.211⁎⁎⁎ | -0.119⁎⁎⁎ | -0.352⁎⁎⁎ | -0.33⁎⁎⁎ | -0.485⁎⁎⁎ | -0.26⁎⁎⁎ |
| HML | -0.0628 | -0.0918 | -0.041 | -0.157 | -0.321⁎⁎ | -0.738 |
| RMW | -0.0297 | -0.273 | -0.0832 | -0.0844 | -0.206⁎⁎ | -0.0493 |
| CMA | 0.225 | 0.292 | -0.283⁎⁎⁎ | -0.442 | 0.323⁎⁎⁎ | 0.778⁎⁎⁎ |
| SRI_Dummy | 0.0334⁎⁎⁎ | 0.0892⁎⁎⁎ | 0.0306⁎⁎⁎ | 0.152⁎⁎⁎ | 0.0482⁎⁎⁎ | 0.198⁎⁎⁎ |
Notes: The table presents the results of panel regression analysis using the random-effect model (Eq. (4)). The explained variables used in the analyses include the MSCI and the MSCI SRI Indices. The data up to May 2020 are used for the US, and up to April 2020 for Europe and Japan. The first row indicates which country's or region's MSCI Indices are used in the analysis. SRI_Dummy is the MSCI SRI Index dummy that takes the value of one if the explained variable is the MSCI SRI Index and zero otherwise. ‘Before’ indicates the period prior to the COVID-19 pandemic used in the analysis and ‘During’ indicates the period during the pandemic. Other variables used in the analyses are the five factors introduced by Fama and French (2015); Mkt. Return is the market return, SMB is the size factor, HML is the value factor, RMW is the profitability factor, and CMA is the investment factor. We also conduct analysis on the ETFs using the Fama–French factors for the US. The result is not presented here, because it is consistent with that in previous tables. ***, **, and * indicate the coefficient is significant at the 10, 5, and 1% levels, respectively.