The Sustainability Footprint of Institutional Investors
70 Pages Posted: 16 Feb 2017 Last revised: 15 Aug 2018
Date Written: July 31, 2018
We propose a novel way of measuring the portfolio-level environmental and social characteristics of 13F institutional investors (the “sustainability footprint”). We show that the environmental (social) footprint of institutional investors has improved (deteriorated) over time and that institutions with longer investment horizons exhibit better footprints. Linking investment performance and footprints, we provide evidence that measures of risk-adjusted returns are positively related to the environmental footprint, with this link being particularly pronounced for institutions with longer investment horizons. Using exogenous shocks to sustainability preferences induced by natural disasters we provide evidence of a causal impact of sustainability on investment performance.
Keywords: Investment horizon, institutional investors, sustainability footprint, environmental footprint, social footprint, portfolio turnover, investment horizon, risk-adjusted performance, CSR, ESG impact, socially responsible investing, sustainable investing, impact investing
JEL Classification: G20, G23, G30, M14, Q01, Q50
Suggested Citation: Suggested Citation