The Impact of ESG Investment Intensity on Mutual Funds’ Performance
DOI:
https://doi.org/10.54097/qm4af912Keywords:
Fund ESG Investment Level; Fund Performance; CAPM Model; Fund Alpha.Abstract
Employing a two-way fixed-effects specification on a 2017–2021 panel of Chinese equity-oriented mutual funds, we examine whether ESG intensity influences CAPM Alpha. Huazheng ESG ratings serve as the key explanatory variable. ESG scores are positively and significantly related to one-month and six-month alphas, but the association attenuates at the twelve-month horizon. High-ESG funds exhibit a mid-term reversal followed by long-run outperformance, whereas low-ESG funds earn short-lived, risk-driven gains that subsequently erode. Fund size, age and volatility are additional, material determinants of excess returns.
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