Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic
In this paper, we analyzed the risk-adjusted performance of funds related to Environmental, Social and Governance (ESG-related funds), considering periods of financial constraints and the COVID-19 Pandemic. The database is comprised of 3,840 equity mutual funds in the period from January/2006 to Dec...
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| Format: | Article |
| Language: | English |
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FUCAPE Business School
2023-01-01
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| Series: | BBR: Brazilian Business Review |
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| Online Access: | http://www.redalyc.org/articulo.oa?id=123075331002 |
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| author | Thayse Machado Guimarães Rodrigo Fernandes Malaquias |
| author_facet | Thayse Machado Guimarães Rodrigo Fernandes Malaquias |
| author_sort | Thayse Machado Guimarães |
| collection | DOAJ |
| description | In this paper, we analyzed the risk-adjusted performance of funds related to Environmental, Social and Governance (ESG-related funds), considering periods of financial constraints and the COVID-19 Pandemic. The database is comprised of 3,840 equity mutual funds in the period from January/2006 to December/2020. Each year, considering daily returns, we employed the Returns-Based Style Analysis to classify each fund as an ESG-related fund or a conventional fund; all funds in the category “Equities - Sustainability / Governance” were also considered as ESG-related mutual funds. Using daily data, for each year, the performance was estimated based on the four-factors model. The main results indicate that, on average, ESG-related funds presented higher risk-adjusted returns during periods of financial constraints. These results suggest that, during market downturns, investors tend to obtain better risk-adjusted returns for investing in green funds. A similar result was observed in relation to the COVID-19 period, suggesting that, based on the methods and procedures used, ESG-related funds achieved a better performance when compared to “conventional” funds during the Pandemic. |
| format | Article |
| id | doaj-art-907dc0c550aa4c7c84edafde867c329d |
| institution | Kabale University |
| issn | 1807-734X |
| language | English |
| publishDate | 2023-01-01 |
| publisher | FUCAPE Business School |
| record_format | Article |
| series | BBR: Brazilian Business Review |
| spelling | doaj-art-907dc0c550aa4c7c84edafde867c329d2025-02-06T23:39:34ZengFUCAPE Business SchoolBBR: Brazilian Business Review1807-734X2023-01-012011837http://dx.doi.org/10.15728/bbr.2023.20.1.2.ptPerformance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 PandemicThayse Machado GuimarãesRodrigo Fernandes MalaquiasIn this paper, we analyzed the risk-adjusted performance of funds related to Environmental, Social and Governance (ESG-related funds), considering periods of financial constraints and the COVID-19 Pandemic. The database is comprised of 3,840 equity mutual funds in the period from January/2006 to December/2020. Each year, considering daily returns, we employed the Returns-Based Style Analysis to classify each fund as an ESG-related fund or a conventional fund; all funds in the category “Equities - Sustainability / Governance” were also considered as ESG-related mutual funds. Using daily data, for each year, the performance was estimated based on the four-factors model. The main results indicate that, on average, ESG-related funds presented higher risk-adjusted returns during periods of financial constraints. These results suggest that, during market downturns, investors tend to obtain better risk-adjusted returns for investing in green funds. A similar result was observed in relation to the COVID-19 period, suggesting that, based on the methods and procedures used, ESG-related funds achieved a better performance when compared to “conventional” funds during the Pandemic.http://www.redalyc.org/articulo.oa?id=123075331002investment fundsfinancial restrictionsesg investments |
| spellingShingle | Thayse Machado Guimarães Rodrigo Fernandes Malaquias Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic BBR: Brazilian Business Review investment funds financial restrictions esg investments |
| title | Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic |
| title_full | Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic |
| title_fullStr | Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic |
| title_full_unstemmed | Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic |
| title_short | Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic |
| title_sort | performance of equity mutual funds considering esg investments financial constraints and the covid 19 pandemic |
| topic | investment funds financial restrictions esg investments |
| url | http://www.redalyc.org/articulo.oa?id=123075331002 |
| work_keys_str_mv | AT thaysemachadoguimaraes performanceofequitymutualfundsconsideringesginvestmentsfinancialconstraintsandthecovid19pandemic AT rodrigofernandesmalaquias performanceofequitymutualfundsconsideringesginvestmentsfinancialconstraintsandthecovid19pandemic |