Vaccine Approval Effect on Firms in Socially Responsible and Conventional Funds During the Covid-19 Pandemic

Abstract

This research investigates the effects of vaccine approval on socially responsible and conventional funds in the United States and Canada. The study analyzes the daily total returns of the constituents of the Jantzi Social Index, TSX composite, MSCI KLD 400 Social Index, and S&P 500 from January 03, 2018, to December 30, 2022. The findings suggest that regardless of the model used, companies included in socially responsible indexes exhibit a slightly stronger positive response to vaccine approval announcements compared to companies in conventional indexes. The positive impact on returns was notably stronger for earlier announcements. Although Canadian firms occasionally showed a slightly stronger positive reaction than their U.S. counterparts, no discernible difference was observed between the reactions of companies in the two countries. The study also employs an alternative approach to the conventional event study procedure, capturing the impact of vaccine announcements through dummy variables. To ensure robustness of the findings, non-parametric tests were conducted alongside our standard event study. They produce results that are consistent with our original tests.