The Sustainability Footprint of Institutional Investors

70 Pages Posted: 16 Feb 2017 Last revised: 15 Aug 2018

Rajna Gibson

University of Geneva - Geneva Finance Research Institute (GFRI)

Philipp Krueger

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

Date Written: July 31, 2018

Abstract

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

Gibson, Rajna and Krueger, Philipp, The Sustainability Footprint of Institutional Investors (July 31, 2018). Swiss Finance Institute Research Paper No. 17-05; European Corporate Governance Institute (ECGI) - Finance Working Paper No. 571/2018. 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)

Philipp Krueger (Contact Author)

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

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland

Swiss Finance Institute ( email )

Switzerland

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