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The Sustainability Footprint of Institutional Investors

62 Pages Posted: 16 Feb 2017 Last revised: 11 May 2017

Rajna Gibson

University of Geneva - Geneva Finance Research Institute (GFRI); Swiss Finance Institute

Philipp Krueger

University of Geneva; University of Geneva - Geneva Finance Research Institute; Swiss Finance Institute

Date Written: February 17, 2017

Abstract

Little is known about the environmental and social (or sustainability) preferences of 13F institutional investors. In this paper, we propose a novel measure to quantify the portfolio-level sustainability of institutional investors. We show that portfolios of institutions with longer investment horizons exhibit higher sustainability and that risk-adjusted performance is positively related to sustainability, primarily through a reduction of portfolio risk. Using exogenous shocks to investor sustainability induced by natural disasters we provide evidence of a causal impact of sustainability on risk-adjusted performance. An instrumental variable strategy using geographic variation in constituency statutes further supports a causal interpretation of our results.

Keywords: Investment horizon, Institutional investors, sustainability footprint, portfolio turnover, risk-adjusted performance, CSR, ESG impact, SRI, sustainable investing, impact investing, environmental footprint, social footprint, ESG footprint, ESG impact

JEL Classification: G20, G23, G30, M14, Q01, Q50

Suggested Citation

Gibson , Rajna and Krueger, Philipp, The Sustainability Footprint of Institutional Investors (February 17, 2017). Swiss Finance Institute Research Paper No. 17-05. Available at SSRN: https://ssrn.com/abstract=2918926 or http://dx.doi.org/10.2139/ssrn.2918926

Rajna Gibson

University of Geneva - Geneva Finance Research Institute (GFRI) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41.22.379.89.83 (Phone)

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Philipp Krueger (Contact Author)

University of Geneva ( email )

102 Bd Carl-Vogt
Genève, CH - 1205
Switzerland

University of Geneva - Geneva Finance Research Institute ( email )

Geneva
Switzerland

Swiss Finance Institute ( email )

Switzerland

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