ESG Score and Mutual Fund Performance : Empirical Evidence from India

Q2 Economics, Econometrics and Finance

Indian Journal of Finance Pub Date : 2023-03-01 DOI:10.17010/ijf/2023/v17i3/172671

T. Soni

引用次数: 0

Abstract

This paper studied the relationship between risk-adjusted returns and ESG disclosures of mutual funds operating in India for 13 years. It tested whether the mutual funds with higher ESG scores generated higher risk-adjusted returns than those with lower ESG scores. Further, it also tested whether the mutual funds with higher ESG scores performed better during the COVID-19 crisis period. After controlling for Fama-French five factors, we found that the performance of mutual funds with higher ESG scores neither generated significant positive alphas during the normal period nor the COVID-19 period. The results pointed toward the higher cost of being socially responsible through higher screening costs, opportunity costs, etc. These findings will interest investors, policymakers, and other stakeholders regarding the perceived advantage of investing in socially responsible mutual funds. © 2023, Associated Management Consultants Pvt. Ltd. All rights reserved.

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ESG得分与共同基金业绩：来自印度的经验证据

本文研究了在印度运营13年的共同基金的风险调整回报与ESG披露之间的关系。它测试了ESG得分较高的共同基金是否比ESG得分较低的共同基金产生了更高的风险调整回报。此外，它还测试了ESG得分较高的共同基金在新冠肺炎危机期间是否表现更好。在控制Fama-Franch五个因素后，我们发现ESG得分较高的共同基金的表现在正常时期和新冠肺炎时期都没有产生显著的正阿尔法。研究结果表明，通过更高的筛选成本、机会成本等，承担社会责任的成本更高。这些发现将使投资者、决策者和其他利益相关者对投资社会责任共同基金的感知优势感兴趣。©2023，Associated Management Consultants Pvt.有限公司保留所有权利。

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

Indian Journal of Finance Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

1.50

自引率

0.00%

发文量

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