Abstract
This study evaluates the importance of environmental, social, and governance (ESG) considerations in mutual fund performance using difference-in-differences (DID) analysis on a selection of repurposed ESG mutual funds. DID showed that ESG funds outperformed non-ESG funds during the post-transformation period. Outperformance ranged from 0.02 to 0.13%. Further, ESG risk premiums were major ESG information transmitters in mutual fund markets. Finally, ESG risk should be part of a broader consideration of portfolio risk.
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