Climate Risk, ESG Ratings, and the Flow-Performance Relationship in Mutual Funds

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aut.relation.articlenumber101041
aut.relation.endpage101041
aut.relation.journalGlobal Finance Journal
aut.relation.startpage101041
dc.contributor.authorAli, Sara
dc.contributor.authorBadshah, Ihsan
dc.contributor.authorDemirer, Riza
dc.contributor.authorHegde, Prasad
dc.contributor.authorRognone, Lavinia
dc.date.accessioned2024-09-30T02:52:44Z
dc.date.available2024-09-30T02:52:44Z
dc.date.issued2024-09
dc.description.abstractWe extend the burgeoning literature on climate finance by examining the informational role of mutual fund sustainability ratings on the asset allocation decisions by investors when faced with climate risks. Utilizing data on a large sample of equity mutual funds in Australasia (Australia and New Zealand), we find that climate risk plays a significant role on the sensitivity of fund flows to past performance. We find that the sensitivity is stronger for mutual funds that enjoy high sustainability ratings, and we show that the informational value of past performance over subsequent fund flows becomes more important when investors face greater climate risks. We argue that sustainability ratings of managed funds not only complement performance but also help improve the efficiency of asset allocation decisions, more so during a heightened climate risk environment.
dc.identifier.citationGlobal Finance Journal, ISSN: 1044-0283 (Print), Elsevier BV, 101041-101041. doi: 10.1016/j.gfj.2024.101041
dc.identifier.doi10.1016/j.gfj.2024.101041
dc.identifier.issn1044-0283
dc.identifier.urihttp://hdl.handle.net/10292/18079
dc.languageen
dc.publisherElsevier BV
dc.relation.urihttps://www.sciencedirect.com/science/article/pii/S1044028324001133
dc.rights© 2024 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
dc.rights.accessrightsOpenAccess
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subject3502 Banking, Finance and Investment
dc.subject35 Commerce, Management, Tourism and Services
dc.subject13 Climate Action
dc.subject1502 Banking, Finance and Investment
dc.subjectFinance
dc.subject3501 Accounting, auditing and accountability
dc.subject3502 Banking, finance and investment
dc.titleClimate Risk, ESG Ratings, and the Flow-Performance Relationship in Mutual Funds
dc.typeJournal Article
pubs.elements-id570002
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