| Popis: |
Over recent years, investors' attention on the environment, social responsibility, and governance (ESG) has been growing. At the same time, managers, investors, and regulators are interested in ascertaining whether mutual funds that invest in ESG‐compliant assets perform better than those with a low ESG commitment. The sustainability of funds' portfolios can be measured by ESG ratings, a measure of the financially material ESG factors of the securities held by a fund. Our study therefore aims to verify whether funds with high ESG ratings outperform funds with low ESG ratings, considering the risks taken, including higher moments, and costs borne by investors. Our analysis is carried out on a sample of 634 European mutual funds. By using data envelopment analysis, it provides evidence of the superior efficiency of funds investing in high ESG‐rated securities. |
