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Mutual Fund Trading and ESG Stock Resilience during the COVID-19 Stock Market Crash

European Corporate Governance Institute – Finance Working Paper No. 782/2021

71 Pages Posted: 23 Aug 2021 Last revised: 15 Feb 2022

See all articles by Rui A. Albuquerque

Rui A. Albuquerque

Boston College, Carroll School of Management; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

Yrjo Koskinen

Haskayne School of Business, University of Calgary; European Corporate Governance Institute (ECGI)

Raffaele Santioni

Bank of Italy

Multiple version iconThere are 3 versions of this paper

Date Written: February 14, 2022

Abstract

Using proprietary monthly holdings data from Morningstar, we show that Envi- ronmental, Social, and Governance funds’ trading during the COVID-19 market crash was consistent with catering to their clientele. Thus, ESG funds helped to stabilize the market for ESG stocks, but interestingly non-ESG funds did that as well. First, all funds experiencing inflows helped to stabilize the market during the crash by increasing net purchases per dollar of inflows. This behavior was more pronounced for ESG funds. Second, non-ESG funds experiencing outflows increased their net sales per dollar of outflow for non-ESG stocks, tilting their portfolios towards ESG stocks.

Keywords: Environmental and social responsibility, clientele effects, fund flows, investor horizon, stock market crash

JEL Classification: G01, G12, G23, G32, M14

Suggested Citation

Albuquerque, Rui A. and Koskinen, Yrjo J and Santioni, Raffaele, Mutual Fund Trading and ESG Stock Resilience during the COVID-19 Stock Market Crash (February 14, 2022). European Corporate Governance Institute – Finance Working Paper No. 782/2021, Available at SSRN: https://ssrn.com/abstract=3908464 or http://dx.doi.org/10.2139/ssrn.3908464

Rui A. Albuquerque (Contact Author)

Boston College, Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States

HOME PAGE: http://sites.google.com/view/ruialbuquerque/home

Centre for Economic Policy Research (CEPR)

London
United Kingdom

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Yrjo J Koskinen

Haskayne School of Business, University of Calgary ( email )

SH 154, 2500 University Drive NW
Calgary, Alberta T2N 1N4
Canada
+1-403-220-5540 (Phone)

HOME PAGE: http://https://profiles.ucalgary.ca/yrjo-koskinen

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
Brussels
Belgium

HOME PAGE: http://https://ecgi.global/users/yrj%C3%B6-koskinen

Raffaele Santioni

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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