Research Seminar by Dr. Marco Ceccarelli
The Associate Professor of Finance at the Vrije Universiteit Amsterdam will present a seminar entitled: ESG Skill of Mutual Fund Managers.
Date: 14 October 2024, Monday, 11:40-13:00
Location: Institute of Finance – Room E.279.1. (Corvinus main building E, second floor)
Abstract: We propose a new measure of ESG-specific skill based on fund manager trades and ESG rating changes. We differentiate between proactive ESG managers, whose trades predict future changes in ESG ratings, reactive ESG managers, who change their portfolio allocation after a change in ESG ratings occurs, and non-ESG managers. The predictive ability of proactive managers is persistent in out-of-sample tests, consistent with manager skill. For identification, we rely on an exogenous methodology change of one ESG rating provider that redefined ESG ratings levels without releasing new information. Reactive managers significantly change their holdings in firms whose ESG ratings exogenously change, consistent with a lack of ESG skill. Proactive managers do not trade in the direction of the change, consistent with their trading no new ESG information. This ESG skill has economic implications: Investors in mutual funds with an explicit sustainability mandate reward proactive managers with 58bps higher average quarterly flows. The full paper is available here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4657038
Joint work with Richard B. Evans, Simon Glossner, Mikael Homanen, and Ellie Luu
- Read Dr. Marco Ceccarelli’s publications: https://sites.google.com/view/marcoceccarelli
- Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule
Please note that this Microsoft Teams link is only in case you are unable to join the seminar at the Corvinus University of Budapest, Institute of Finance, E.279.1. However, the meeting will be generally held offline.