ESG-Persistence in Socially Responsible Mutual Funds

11 Pages Posted: 30 Aug 2012 Last revised: 20 Sep 2012

See all articles by Maximilian Wimmer

Maximilian Wimmer

University of Regensburg; University of Mannheim - Finance Area

Date Written: August 12, 2012

Abstract

This paper analyzes the persistence of environmental, social, and governance (ESG)-scores in socially responsible (SR) mutual funds. ESG-scores can be used as a measure for the level of social responsibility of an SR mutual fund. It is shown that ESG-scores persist for approximately two years. However, the persistence of the ESG-scores is terminated after approximately three years. This implies that value-driven investors of SR mutual funds who seek high-ESG investments cannot rely upon a long-term continuation of high ESG-scores and thus need to rebalance their portfolio from time to time. The lack of long-term persistence in the ESG-scores is caused by changes in the holdings of the SR mutual funds.

Keywords: socially responsible investing, ESG-scores, corporate social responsibility, persistence

JEL Classification: G11, M14

Suggested Citation

Wimmer, Maximilian, ESG-Persistence in Socially Responsible Mutual Funds (August 12, 2012). Available at SSRN: https://ssrn.com/abstract=2138882 or http://dx.doi.org/10.2139/ssrn.2138882

Maximilian Wimmer (Contact Author)

University of Regensburg ( email )

Universitaetsstrasse 31
Regensburg, 93053
Germany
+49 941 943 2672 (Phone)

HOME PAGE: http://www-finance.uni-regensburg.de/Team/Maximilian-Wimmer.html

University of Mannheim - Finance Area ( email )

Mannheim, 68131
Germany

HOME PAGE: http://cf.bwl.uni-mannheim.de/

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