Firm-level ESG information and active fund management
Firm-level ESG information and active fund management
Using a novel dataset containing daily snapshots of firm-level ESG information, we examine whether active mutual fund managers successfully integrate ESG information into their portfolio decisions. We find that a typical fund manager executes buy trades following positive ESG information and improves portfolio performance. Fund managers also incorporate ESG information to cater to investor demand, especially during periods of greater ESG awareness. In the cross-section, ESG-information-investment relation is stronger among funds with better ESG ratings and higher 12b-1 fees. And funds located in Democratic states and managers with lower job-related discrimination propensity exhibit stronger ESG sensitivity.
ESG intergration, Materiality, Sustainable investing, Mutual funds, Investment skill, Catering
Chen, Linquan
31eda93e-2d3e-49b0-85a2-8fd82744ca13
Chen, Yao
7a976dda-e5ae-4dfc-bfa1-9a26f712dcca
Kumar, Alok
07f7a267-b993-4a40-bf3a-2f750c9a076a
Leung, Woon Sau
73a8bf54-6035-4f11-a9ec-74272abbacb5
Chen, Linquan
31eda93e-2d3e-49b0-85a2-8fd82744ca13
Chen, Yao
7a976dda-e5ae-4dfc-bfa1-9a26f712dcca
Kumar, Alok
07f7a267-b993-4a40-bf3a-2f750c9a076a
Leung, Woon Sau
73a8bf54-6035-4f11-a9ec-74272abbacb5
Chen, Linquan, Chen, Yao, Kumar, Alok and Leung, Woon Sau
(2023)
Firm-level ESG information and active fund management
(Submitted)
Record type:
Monograph
(Working Paper)
Abstract
Using a novel dataset containing daily snapshots of firm-level ESG information, we examine whether active mutual fund managers successfully integrate ESG information into their portfolio decisions. We find that a typical fund manager executes buy trades following positive ESG information and improves portfolio performance. Fund managers also incorporate ESG information to cater to investor demand, especially during periods of greater ESG awareness. In the cross-section, ESG-information-investment relation is stronger among funds with better ESG ratings and higher 12b-1 fees. And funds located in Democratic states and managers with lower job-related discrimination propensity exhibit stronger ESG sensitivity.
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Submitted date: 2023
Keywords:
ESG intergration, Materiality, Sustainable investing, Mutual funds, Investment skill, Catering
Identifiers
Local EPrints ID: 485631
URI: http://eprints.soton.ac.uk/id/eprint/485631
PURE UUID: 197b6248-cc8e-4076-9a53-3301df19c97e
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Date deposited: 12 Dec 2023 17:36
Last modified: 13 Dec 2023 03:06
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Contributors
Author:
Linquan Chen
Author:
Yao Chen
Author:
Alok Kumar
Author:
Woon Sau Leung
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