期刊
CORPORATE SOCIAL RESPONSIBILITY AND ENVIRONMENTAL MANAGEMENT
卷 28, 期 5, 页码 1446-1455出版社
WILEY
DOI: 10.1002/csr.2175
关键词
data envelopment analysis; ESG ratings; mutual funds; risk-adjusted performance; sustainable investments
This study aims to verify whether funds with high ESG ratings outperform those with low ESG ratings, based on an analysis of 634 European mutual funds. Using data envelopment analysis, the study provides evidence of the superior efficiency of funds investing in high ESG-rated securities.
Over recent years, investors' attention on the environment, social responsibility, and governance (ESG) has been growing. At the same time, managers, investors, and regulators are interested in ascertaining whether mutual funds that invest in ESG-compliant assets perform better than those with a low ESG commitment. The sustainability of funds' portfolios can be measured by ESG ratings, a measure of the financially material ESG factors of the securities held by a fund. Our study therefore aims to verify whether funds with high ESG ratings outperform funds with low ESG ratings, considering the risks taken, including higher moments, and costs borne by investors. Our analysis is carried out on a sample of 634 European mutual funds. By using data envelopment analysis, it provides evidence of the superior efficiency of funds investing in high ESG-rated securities.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据