Socially Responsible Investing in Good and Bad Times
研究了社会责任投资（SRI）的超额收益随时间变化的情况，发现高评级SRI股票在经济好时表现优于低评级者，但在衰退等坏时期表现较差，这源于投资者财富变化导致的偏好波动。
Abstract 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, firm announcements, and realized incidents, we find 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.