Social Responsible Investments and their Anticyclical Attitude during Financial Turmoil. Evidence from the Brexit shock

In recent years, many studies investigate whether Socially Responsible Investments (SRIs) outperform traditional investments. After the 2008 financial crisis another research question emerged: are SRIs able to overcome market downturns? This stream of literature investigates many different geographies and financial crises; however, to the best of our knowledge, no study has investigated SRIs reaction to the United Kingdom European Union Membership Referendum (Brexit). The aim of this paper is to analyze SRIs prices reaction to the Brexit referendum on June 23, 2016. We assessed whether there was a difference: a) with SRIs price reaction to the Lehman Brothers bankruptcy; b) compared to various sectors and the geographical residence of companies. Findings show that SRI reacted more negatively than non-SRI to Brexit, while they reacted better to Lehman shock. Thus, this paper contributes to the existing literature showing that SRIs have anticyclical power especially during the most severe financial crisis, like the Lehman turmoil.