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Article
Business, Finance
Feng He et al.
Summary: Corporate environmental, social, and governance (ESG) is crucial for sustainable growth, and the motivation behind corporate ESG engagement determines whether it is genuine or just greenwashing. This study explores the motivation of corporate ESG engagement in terms of risk-taking. Analyzing data from Chinese publicly listed firms between 2010 and 2020, it is found that ESG rating significantly reduces corporate risk-taking, even after considering potential endogeneity concerns. The impact of ESG on risk-taking is more significant in firms with lower information transparency, weaker corporate governance, and less external monitoring pressure, highlighting the trade-off between sustainable growth and risk-taking in a weak investor protection institutional environment.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2023)
Article
Business, Finance
Ning Zhang et al.
Summary: The research examines the correlation between ESG performance and downside risk in the Chinese equity mutual fund market. It finds a positive association between fund ESG performance and downside risk during the period from July 2018 to March 2021, with a weaker relationship observed during the COVID-19 pandemic. The study proposes three channels through which fund ESG performance could impact downside risk.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2023)
Article
Business, Finance
Hu Wang et al.
Summary: We examine the correlation between ESG performance and stock price fragility using data from Chinese equity funds regarding stock holdings and flow. Our findings show a negative correlation between ESG performance and stock price fragility, where better ESG performance leads to reduced fragility. We also investigate the mechanism through which ESG performance impacts stock price fragility and determine that improved ESG performance decreases investor sensitivity to stock performance, thereby reducing stock price fragility.
FINANCE RESEARCH LETTERS
(2023)
Article
Business, Finance
Wenjun Xue et al.
Summary: This paper examines the impact of mutual fund herding on China's stock market stability using idiosyncratic volatility as a lens. The study finds that mutual fund herding significantly increases future idiosyncratic volatility for up to one-and-half years, suggesting a persistent destabilizing effect. Additionally, the destabilizing effect is greater for stocks with higher mutual fund ownership and during periods of high investor sentiment. Furthermore, mutual fund herding exacerbates the stock market's instability following China's share reform in 2011. The study's findings are robust to alternative risk measures and China's institutional setting helps address endogeneity concerns.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2023)
Article
Business, Finance
Hao Jiang et al.
Summary: Research suggests that liquidity transformation in corporate bond mutual funds may introduce fragility, leading to higher volatility and more selling of bonds with higher fragility in the market. During the COVID-19 crisis, bonds with higher precrisis fragility experienced larger negative returns and bigger reversals.
JOURNAL OF FINANCIAL ECONOMICS
(2022)
Article
Business, Finance
Joel F. Houston et al.
Summary: This study reveals the positive effect of banking relationships on corporate environmental, social, and governance (ESG) policies. The research shows that banks are more inclined to grant loans to borrowers with similar ESG profiles and positively influence their subsequent ESG performance, especially when banks have better ESG ratings than borrowers and borrowers are highly dependent on banks. The study also highlights the significance of the bank's ESG rating on borrowers' ESG behavior.
REVIEW OF FINANCIAL STUDIES
(2022)
Article
Business, Finance
Ivelina Pavlova et al.
Summary: This study examines the risk-adjusted returns of ESG ETFs before and during the COVID-19 market crash, finding that lower-rated sustainable ETFs tend to outperform higher-rated ESG ETFs in the pre-crash period. During the market crash, the alphas of the models are negative and insignificant. Overall, higher sustainability ratings do not protect ESG ETFs from losses during the downturn, but they do not perform worse than the market.
FINANCE RESEARCH LETTERS
(2022)
Article
Business, Finance
Di Luo
Summary: We examine the impact of ESG scores on stock returns in the UK and find that companies with lower ESG scores achieve higher returns. Furthermore, the influence of environmental and social factors on returns is more pronounced compared to the overall ESG impact. Our analysis also reveals that the ESG premium is significant for low liquidity securities but not for high liquidity securities, suggesting a relationship between ESG and stock liquidity.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
(2022)
Article
Business, Finance
Aneesh Raghunandan et al.
Summary: The study found that investment funds claiming to be ESG mutual funds tend to invest in companies with poorer compliance records in labor and environmental laws, higher carbon emissions, and underperform financially compared to other funds. However, these ESG funds hold companies with higher average ESG scores.
REVIEW OF ACCOUNTING STUDIES
(2022)
Article
Business, Finance
Fei Fang et al.
Summary: Sustainable investing has shown significant growth in recent years, with high-sustainable funds outperforming low-sustainable funds and attracting more investments. The COVID-19 pandemic has further increased the performance gap and flow differences between the two types of funds. This suggests a shift in investors' attitudes towards sustainable investing, prioritizing investments with social responsibility.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2022)
Article
Business, Finance
Dane M. Christensen et al.
Summary: Despite the increasing use of ESG ratings, there is substantial disagreement among rating agencies regarding the ratings given to individual firms. This study finds that greater ESG disclosure actually leads to greater ESG rating disagreement, and raters disagree more about ESG outcome metrics than input metrics. It is also observed that ESG disagreement is associated with higher return volatility, larger absolute price movements, and a lower likelihood of issuing external financing.
Article
Business, Finance
Antonio Falato et al.
Summary: The paragraph discusses the powerful spillover effects of fire sales induced by investor redemptions among funds that hold the same assets, which can hurt peer funds' performance and flows, as well as negatively impact bond prices. The study finds that an increase in the fire-sale spillover measure leads to decreased peer fund returns and flows, and an increased likelihood of large bond price drops, with additional support from regression-discontinuity design and various tests. Model-based analyses are used to quantify the financial stability implications.
JOURNAL OF FINANCE
(2021)
Article
Business, Finance
Antonio Falato et al.
Summary: Using daily microdata, it was found that corporate-bond funds experienced major outflows during the COVID-19 crisis, especially for funds with illiquid assets and exposure to sectors affected by the crisis. The Federal Reserve bond purchase program helped reverse these outflows by providing liquidity support, particularly for the most fragile funds, with spillover effects on primary market issuance and peer funds. The evidence suggests a bond-fund fragility channel through which the Fed's liquidity backstop transmits to the real economy.
JOURNAL OF MONETARY ECONOMICS
(2021)
Article
Business, Finance
Michael Iselin et al.
Summary: The study found that bank connections via common mutual fund ownership can increase systemic risk, with passive mutual funds playing a more significant role. This phenomenon is mainly driven by non-discretionary sell-offs of bank stocks and a common pattern of voting.
CONTEMPORARY ACCOUNTING RESEARCH
(2021)
Article
Business
Guido Abate et al.
Summary: 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.
CORPORATE SOCIAL RESPONSIBILITY AND ENVIRONMENTAL MANAGEMENT
(2021)
Article
Business, Finance
Roy Cerqueti et al.
Summary: This study analyzes a network of equity mutual funds with different ESG ratings, finding that high ESG ranked funds experience lower market value loss during periods of lower volatility. However, there is not always a clear dominance of one class over another in periods of higher volatility.
JOURNAL OF FINANCIAL STABILITY
(2021)
Article
Business, Finance
Hu Wang et al.
Summary: This study investigates the herding behavior of Chinese open-end fund managers, finding that most types of funds exhibit herding driven by non-fundamental factors. Herding is more pronounced when the market is rising and fund flow is positive, and is influenced by the network structure of common asset holdings. Additionally, herding tends to be more significant under conditions of high volatility and high economic policy uncertainty, with a negative relationship between fund size and herding behavior.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2021)
Article
Business, Finance
Lasse Heje Pedersen et al.
Summary: The theory proposes that ESG scores of stocks play two roles: providing information about firm fundamentals and affecting investor preferences. By computing the ESG-efficient frontier and empirical data, the costs and benefits of responsible investing are demonstrated.
JOURNAL OF FINANCIAL ECONOMICS
(2021)
Article
Business, Finance
Akihiro Omura et al.
Summary: This study investigates the performance of SRI/ESG investments during the COVID-19 pandemic, finding that SRI indices outperformed conventional investments during this period. These findings have both academic and practical implications.
FINANCE RESEARCH LETTERS
(2021)
Article
Business, Finance
Amber Anand et al.
Summary: The study reveals that some mutual funds intentionally provide liquidity to earn positive alpha, thereby alleviating fragility risk during periods of market stress.
REVIEW OF FINANCIAL STUDIES
(2021)
Review
Business, Finance
Stuart L. Gillan et al.
Summary: This paper reviews financial economics-based research on ESG and CSR, with a focus on corporate finance. While some studies have shown a strong relationship between a firm's ESG/CSR profile and activities and its market, leadership, owner characteristics, risk, performance, and value, there are still conflicting hypotheses and unresolved issues requiring further research.
JOURNAL OF CORPORATE FINANCE
(2021)
Article
Business, Finance
Eugene F. Fama
Summary: Observed contract structures set fixed payoffs for stakeholders and assign residual risk to shareholders with decision rights, but with increasing interest in ESG issues, there is sentiment to replace the max shareholder wealth decision rule with max shareholder welfare, without consideration that investors view max welfare in terms of their overall consumption-investment portfolios. Therefore, max shareholder wealth remains the appropriate decision rule.
EUROPEAN FINANCIAL MANAGEMENT
(2021)
Article
Economics
Fabrizio Ferriani et al.
Summary: The study shows that investors during the early phase of the Covid-19 crisis tended to prefer low-ESG-risk funds, with a particular focus on environmental risks.
APPLIED ECONOMICS LETTERS
(2021)
Article
Management
Agostino Capponi et al.
MANAGEMENT SCIENCE
(2020)
Article
Business, Finance
Lubos Pastor et al.
REVIEW OF ASSET PRICING STUDIES
(2020)
Article
Business, Finance
Jaewon Choi et al.
JOURNAL OF FINANCIAL ECONOMICS
(2020)
Article
Business, Finance
Angeline Kim Pei Chua et al.
JOURNAL OF CORPORATE FINANCE
(2020)
Article
Management
Incheol Kim et al.
MANAGEMENT SCIENCE
(2019)
Article
Management
Linlin Ma et al.
MANAGEMENT SCIENCE
(2019)
Article
Management
Rui Albuquerque et al.
MANAGEMENT SCIENCE
(2019)
Article
Business, Finance
Samuel M. Hartzmark et al.
JOURNAL OF FINANCE
(2019)
Article
Business
Amal Aouadi et al.
JOURNAL OF BUSINESS ETHICS
(2018)
Article
Business, Finance
Ali Fatemi et al.
GLOBAL FINANCE JOURNAL
(2018)
Article
Business, Finance
Sadok El Ghoul et al.
JOURNAL OF BANKING & FINANCE
(2017)
Article
Business
Emiel van Duuren et al.
JOURNAL OF BUSINESS ETHICS
(2016)
Article
Business, Finance
Amber Anand et al.
JOURNAL OF FINANCIAL ECONOMICS
(2016)
Review
Business, Finance
Gerhard Halbritter et al.
REVIEW OF FINANCIAL ECONOMICS
(2015)
Article
Business, Finance
Rwan El-Khatib et al.
JOURNAL OF FINANCIAL ECONOMICS
(2015)
Article
Economics
Leonardo Becchetti et al.
Article
Business, Finance
John Nofsinger et al.
JOURNAL OF BANKING & FINANCE
(2014)
Article
Business, Finance
Han N. Ozsoylev et al.
REVIEW OF FINANCIAL STUDIES
(2014)
Article
Business, Finance
Charles Cao et al.
JOURNAL OF FINANCIAL ECONOMICS
(2013)
Article
Business, Finance
Ignazio Angeloni et al.
JOURNAL OF MONETARY ECONOMICS
(2013)
Article
Business, Finance
Charles Cao et al.
JOURNAL OF FINANCIAL MARKETS
(2013)
Article
Business, Finance
Robin Greenwood et al.
JOURNAL OF FINANCIAL ECONOMICS
(2011)
Article
Business, Finance
Zoran Ivkovic et al.
JOURNAL OF FINANCIAL ECONOMICS
(2009)
Article
Business, Finance
Kareii L. Benson et al.
JOURNAL OF BANKING & FINANCE
(2008)
Article
Business, Finance
Joshua Coval et al.
JOURNAL OF FINANCIAL ECONOMICS
(2007)
Article
Business, Finance
Nicolas P. B. Bollen
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
(2007)
