Do ESG fund managers pump and dump the stocks in their portfolios? European evidence

IF 1.5 Q3 BUSINESS, FINANCE
Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas
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Abstract

We investigate portfolio pumping around quarter-ends by ESG equity mutual funds domiciled in the largest European markets in sustainable investments, i.e., the UK, France and Germany, for the period from January 2010 to December 2022. We find strong evidence that the UK funds inflate quarter-end returns, with price spikes being stronger at year-ends; nevertheless, the magnitude of price inflation is less than that of their conventional counterparts. On the contrary, results indicate that German and French funds do not engage in portfolio pumping. The COVID-19 pandemic strengthened the propensity of fund managers to cause a profound artificial enhancement to the performance of the investment portfolio. Further analysis shows that portfolio pumping is more prominent among the worst-performing funds, funds that charge investors with lower fees and achieve a poor ESG rating. However, managers that pump fund returns do not attract significantly more flows. Our results have produced valuable insights for regulators and investors participating in ESG markets, highlighting the necessity for a rigorous surveillance of the UK ESG equity market.

Abstract Image

ESG基金经理是否会在其投资组合中抽空抛售股票?欧洲证据
我们调查了 2010 年 1 月至 2022 年 12 月期间,欧洲最大的可持续投资市场(即英国、法国和德国)的 ESG 股权共同基金在季度末的投资组合抽水情况。我们发现有力的证据表明,英国的基金抬高了季度末的回报率,年末的价格飙升幅度更大;尽管如此,价格飙升的幅度小于传统的同类基金。相反,结果表明德国和法国的基金并没有进行投资组合抽水。COVID-19 大流行加强了基金经理人为提高投资组合业绩而人为大幅提高投资组合业绩的倾向。进一步的分析表明,投资组合抽水现象在表现最差的基金中更为突出,这些基金向投资者收取较低的费用,并获得较差的环境、社会和公司治理评级。然而,抽水基金经理并没有吸引更多的资金流入。我们的研究结果为参与 ESG 市场的监管者和投资者提供了宝贵的见解,强调了对英国 ESG 股票市场进行严格监控的必要性。
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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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