ESG fund performance and fund manager trading strategy: Evidence from China

IF 5.2 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal Pub Date : 2025-09-01 Epub Date: 2025-08-07 DOI:10.1016/j.gfj.2025.101167

Tiantian Tang , Jiahui Guo , Liping Zou , Lu Luo

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引用次数: 0

Abstract

This study investigates the performance of environmental, social, and governance (ESG) funds compared with their conventional counterparts in China's financial market, using quarterly stockholding data from 2018 to 2021. The findings show that ESG funds consistently outperform conventional ones in generating risk-adjusted excess returns. ESG funds also exhibit lower tendencies toward window dressing and maintain longer investment horizons, reflecting their commitment to long-term objectives and reduced focus on short-term gains. Probit model results reveal that fund managers' personal characteristics—particularly gender and investment style—significantly influence the likelihood of a fund being classified as an ESG fund. Additionally, a trading strategy that mimics ESG principles by investing in high-ESG-rated stocks and divesting from low-rated ones generates positive returns, underscoring the profitability of ESG-based investment strategies. This research provides valuable insights into China's ESG fund landscape and emphasizes its growing role in promoting sustainable development within the global financial ecosystem.

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ESG基金绩效与基金经理交易策略：来自中国的证据

本研究使用2018年至2021年的季度持股数据，调查了中国金融市场中环境、社会和治理（ESG）基金与传统基金的表现。研究结果显示，ESG基金在产生经风险调整后的超额回报方面一直优于传统基金。ESG基金也表现出较低的粉饰帐面的倾向，并保持较长的投资期限，反映出它们致力于长期目标，减少了对短期收益的关注。Probit模型结果显示，基金经理的个人特征——尤其是性别和投资风格——显著影响基金被归类为ESG基金的可能性。此外，一种模仿ESG原则的交易策略，通过投资ESG评级高的股票并从评级低的股票中撤资，可以产生正回报，强调了基于ESG的投资策略的盈利能力。本研究为中国ESG基金格局提供了有价值的见解，并强调了其在促进全球金融生态系统可持续发展方面日益重要的作用。

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

Global Finance Journal BUSINESS, FINANCE-

CiteScore

7.30

自引率

13.50%

发文量

106

审稿时长

53 days

期刊介绍： Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.