ESG Fund Labels Matter: Portfolio Holdings, Flows, and Performance

This study investigates whether environmental, social, and governance (ESG) funds have distinct features from conventional funds based on holdings-based ESG scores, flows, and performance. We find that ESG funds have significantly higher ESG scores than conventional funds; ESG funds with higher scor...

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Published inKorean Journal of Financial Studies Vol. 51; no. 4; pp. 447 - 471
Main Authors Sim, Myounghwa, Kim, Hee-Eun
Format Journal Article
LanguageEnglish
Published 한국증권학회 31.08.2022
Subjects
Portfolio Holdings
펀드 레이블
Fund Performance
펀드성과
ESG 펀드
포트폴리오 구성
Fund Label
ESG Funds
Fund Flows
펀드 현금흐름
Online AccessGet full text
ISSN2005-8187
2713-5543
DOI10.26845/KJFS.2022.08.51.4.447

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Abstract This study investigates whether environmental, social, and governance (ESG) funds have distinct features from conventional funds based on holdings-based ESG scores, flows, and performance. We find that ESG funds have significantly higher ESG scores than conventional funds; ESG funds with higher scores significantly weaken flow-performance sensitivity; and their scores are negatively associated with risk-adjusted future performance. However, there is no evidence to support better selection skills among ESG fund investors than among non-ESG fund investors. By conducting a comprehensive analysis, this study suggests that ESG funds have distinct fund attributes, and thus, “ESG” is not a mere marketing rhetoric in the Korean fund market.
AbstractList This study investigates whether environmental, social, and governance (ESG) funds have distinct features from conventional funds based on holdings-based ESG scores, flows, and performance. We find that ESG funds have significantly higher ESG scores than conventional funds; ESG funds with higher scores significantly weaken flow-performance sensitivity; and their scores are negatively associated with risk-adjusted future performance. However, there is no evidence to support better selection skills among ESG fund investors than among non-ESG fund investors. By conducting a comprehensive analysis, this study suggests that ESG funds have distinct fund attributes, and thus, “ESG” is not a mere marketing rhetoric in the Korean fund market.
Author Hee-Eun Kim(김희은)
Myounghwa Sim(심명화)
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Cites_doi 10.1016/j.pacfin.2011.09.001
10.1093/rfs/hhs182
10.2469/faj.v61.n2.2716
10.1007/s10551-009-0260-4
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10.1016/j.jcorpfin.2008.03.009
10.1111/0022-1082.00066
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Issue 4
Keywords Portfolio Holdings
펀드 레이블
Fund Performance
펀드성과
ESG 펀드
포트폴리오 구성
Fund Label
ESG Funds
Fund Flows
펀드 현금흐름
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