{"title":"ESG投资对基金业绩的影响：共同基金风格漂移的证据","authors":"Jiayu Lin , Dongliang Pan , Yezhou Sha","doi":"10.1016/j.pacfin.2025.102707","DOIUrl":null,"url":null,"abstract":"<div><div>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.</div></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":"91 ","pages":"Article 102707"},"PeriodicalIF":4.8000,"publicationDate":"2025-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The impact of ESG investment on fund performance: Evidence from mutual fund style drift\",\"authors\":\"Jiayu Lin , Dongliang Pan , Yezhou Sha\",\"doi\":\"10.1016/j.pacfin.2025.102707\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>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.</div></div>\",\"PeriodicalId\":48074,\"journal\":{\"name\":\"Pacific-Basin Finance Journal\",\"volume\":\"91 \",\"pages\":\"Article 102707\"},\"PeriodicalIF\":4.8000,\"publicationDate\":\"2025-02-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Pacific-Basin Finance Journal\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0927538X25000447\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Pacific-Basin Finance Journal","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927538X25000447","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The impact of ESG investment on fund performance: Evidence from mutual fund style drift
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.
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.
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