Do active fund managers exploit material ESG information?

Event Date: 11 November 2021

Speaker: Dr Yao Chen, Exeter Business School

Time: 3pm (Zoom details emailed to faculty the week prior, otherwise please email donna.irving@strath.ac.uk) 

Abstract:

Using a novel data to proxy for the information relevant for ESG integration, we examine whether active mutual fund managers skillfully integrate material ESG information into portfolio decisions. We find fund manager actively implement ESG integration and improve risk-adjusted performance. Fund managers incorporate material ESG information to cater to investor demand as the impact of ESG information on investment decisions is stronger during periods of high ESG demand. In the cross-section, ESG-information-investment relation is stronger among funds with better ESG ratings and higher marketing fees. In addition, funds exhibit stronger sensitivity to ESG information if they are located in Democratic states or have managers with lower discrimination risk.

Published: 19 October 2021