The impact of ESG investment on fund performance: Evidence from mutual fund style drift

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE Pacific-Basin Finance Journal Pub Date : 2025-06-01 Epub Date: 2025-02-11 DOI:10.1016/j.pacfin.2025.102707

Jiayu Lin , Dongliang Pan , Yezhou Sha

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Abstract

This study analyzes the impact of ESG investment on fund performance using a sample of China's open-end mutual funds from January 2006 to December 2020. ESG investment style scores were constructed based on portfolio weights and MSCI ESG investment styles. The results show a significant positive correlation between overall ESG investment styles (including the environmental, social, and governance sub-dimensions) and fund performance. After adjusting for four-factor risk, the High-Low strategy (Long-short) yielded monthly excess returns ranging from 0.371% to 0.465%. After considering different degrees of style drift, the funds with lower style drift experienced a stronger positive impact from ESG investment styles, with the High-Low strategy contributing up to 0.615% in monthly excess returns. These findings offer practical strategies for fund managers to optimize portfolio allocation and provide valuable guidance for investors selecting ESG-style funds. This study provides theoretical and empirical support for sustainable finance development in emerging markets.

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ESG投资对基金业绩的影响：共同基金风格漂移的证据

本文以2006年1月至2020年12月中国开放式共同基金为样本，分析了ESG投资对基金绩效的影响。ESG投资风格得分是基于投资组合权重和MSCI ESG投资风格构建的。结果显示，整体ESG投资风格（包括环境、社会和治理子维度）与基金绩效之间存在显著的正相关。在对四因素风险进行调整后，高-低策略（多-空）的月超额收益范围为0.371%至0.465%。在考虑不同程度的风格漂移后，风格漂移较低的基金受到ESG投资风格的正向影响更强，其中高-低策略对月额外收益的贡献高达0.615%。这些发现为基金经理优化投资组合配置提供了可行的策略，并为投资者选择esg型基金提供了有价值的指导。本研究为新兴市场金融可持续发展提供了理论和实证支持。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.