| Author: | Choi, Nayoung |
| Title: | Examining the relation between sustainability performances and fund returns : evidence from UK and USA pension funds |
| Advisors: | Lu, Haitian (AF) |
| Degree: | D.B.A. |
| Year: | 2023 |
| Subject: | Pension trusts -- Evaluation Pension trusts -- Investments Sustainability -- Economic aspects Hong Kong Polytechnic University -- Dissertations |
| Department: | Faculty of Business |
| Pages: | 121 pages : color illustrations |
| Language: | English |
| Abstract: | I ask whether ESG investment and financial performance are compatible by studying the relationship between sustainability performance and return of pension funds. Using monthly data from UK and US private pension funds from 2015 to 2019, I find the pension funds that have more of its assets invested in high ESG companies (i.e., with higher fund Sustainability score) have higher returns than those with lower fund Sustainability scores. I also find that high or severe controversy events in portfolio companies negatively affect the fund return. However, I find that ESG momentum, a metric that indicates in which direction the Sustainability scores have moved from the past, has a negative association with fund return, indicating the marginal cost of enhancing Sustainability score by investing in high ESG performance stocks could outweigh the expected gains as time goes on. Finally, I find no evidence that self-declaration of a sustainable strategy affects the fundamental of a pension fund. My findings inform pension regulators and investors on how to integrate ESG into investments. |
| Rights: | All rights reserved |
| Access: | restricted access |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 6958.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 3.28 MB | Adobe PDF | View/Open |
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