ESG-Persistence in Socially Responsible Mutual Funds.
Journal of Management and Sustainability 3 (1), pp. 9-15.
Other URL: http://www.ccsenet.org/journal/index.php/jms/article/view/19237/13779
This paper analyzes the persistence of environmental, social, and governance (ESG)-scores in socially responsible (SR) mutual funds. ESG-scores can be used as a measure for the level of social responsibility of an SR mutual fund. It is shown that ESG-scores persist for approximately two years. However, the persistence of the ESG-scores is terminated after approximately three years. This implies that value-driven investors of SR mutual funds who seek high-ESG investments cannot rely upon a long-term continuation of high ESG-scores and thus need to rebalance their portfolio from time to time. The lack of long-term persistence in the ESG-scores is caused by changes in the holdings of the SR mutual funds.