62 Pages Posted: 16 Feb 2017 Last revised: 11 May 2017
Date Written: February 17, 2017
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: 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