Abstract:
This paper analyzes the response of sustainable indexes to the pandemic lockdown orders in Europe and in the USA, contributing to the recent research on the effects of the global pandemic outbreak.
Our results demonstrate that sustainable indexes were negatively impacted by lockdown orders, however, they did not show statistically significant different abnormal returns compared to traditional indexes.
Similarly, our empirical results confirm that sustainable screening strategies (negative, positive, best in class) did not matter during such announcements. These results are robust across several model specifications and robustness tests, including non-parametric tests, GARCH estimation of abnormal returns, and alternative events.
Short Bio:
Helen Chiappini is Senior Assistant Professor at G. D’Annunzio University of Chieti-Pescara, Italy, where she teaches Sustainable Finance and Corporate Finance. Helen is the sub-series editor of Palgrave Studies in Green Finance and Guest Editor of Sustainability.
Her areas of research include sustainable finance, bank non-performing loans and corporate governance.
As well as publishing in academic journals, she has written and co-edited three books: Social Impact Funds (Palgrave, 2017), Socially Responsible Investments (Palgrave, 2019), and Contemporary Issues in Sustainable Finance (2020) .