We investigate the time variability of abnormal returns from socially responsible investing (SRI). Using portfolio regressions and event studies on multiple data sources, including analyst ratings, rm announcements, and realized incidents, we nd that highly rated SRI stocks outperform lowly rated SRI stocks during good economic times, for example, periods with high market valuations or aggregate consumption, but underperform during bad times, such as recessions. This variation in abnormal returns of high-SR stocks vis-à-vis low SR stocks is consistent with a wealth-dependent investor preference for SR stocks that leads to an increased (decreased) demand for SRI during good (bad) times.

中文翻译：

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对社会负责的投资顺境和逆境

我们调查了社会责任投资 (SRI) 异常回报的时间变异性。通过对多个数据源（包括分析师评级、公司公告和已发生事件）的投资组合回归和事件研究，我们发现在经济良好时期（例如市场估值高或总消费量高的时期），高评级的 SRI 股票优于低评级的 SRI 股票，但在经济衰退等糟糕时期表现不佳。高 SR 股票相对于低 SR 股票的异常回报的这种差异与依赖财富的投资者对 SR 股票的偏好一致，这导致在好（坏）时期对 SRI 的需求增加（减少）。