What does ESG risk premia tell us about mutual fund sustainability levels: A difference-in-differences analysis

Kwamie Dunbar, Daniel Treku, Robert Sarnie and Jack Hoover

Finance Research Letters, 2023, vol. 57, issue C

Abstract: This study evaluates the importance of environmental, social, and governance (ESG) considerations in mutual fund performance using difference-in-differences (DID) analysis on a selection of repurposed ESG mutual funds. DID showed that ESG funds outperformed non-ESG funds during the post-transformation period. Outperformance ranged from 0.02 to 0.13%. Further, ESG risk premiums were major ESG information transmitters in mutual fund markets. Finally, ESG risk should be part of a broader consideration of portfolio risk.

Keywords: Environmental, social and governance; Repurposed mutual funds; Difference-in-differences analysis; Socially responsible investing (search for similar items in EconPapers)
JEL-codes: G12 G14 G20 G24 J32 M14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006347

DOI: 10.1016/j.frl.2023.104262

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