DOI: 10.5176/2251-1997_AF18.198
Authors: Ning Gao, Chris Godfrey and Ser-Huang Poon
Abstract:
This study examines whether self-labeled SRI funds indeed deliver better ESG performance. By tracing more than 244.7 million data points of asset holdings, and the individual stock KLD scores, we compile KLD scores for 8,876 US equity mutual funds from 2002 to 2015. Using only the keywords in the fund names and the USSIF SRI register, we find mutual funds with names associated with sin stocks have strongly negative ESG performance. Religiously named mutual funds are neutral and indistinguishable from their non-labeled counterparts matched based on their exposure to risk factors and fund size. Mutual funds with names associated with ESG have good ESG performance and are slightly ahead of funds that labeled themselves as Social funds. More intriguingly, Morningstar-registered funds with no distinct ESG label do not have superior ESG performance, and mutual funds with Environmental keywords in the fund’s name performed significantly worse in all KLD dimensions not related to the Environment.
Keywords: Socially Responsible Investment, Environmental Social and Governance, MSCI KLD Scores, USSIF, Mutual Funds, Sin Stocks
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