The Impact Of Socially Responsible Funds Screening Intensity On Performance

With the establishment of the China Responsible Investment Forum in 2012 and the establishment of the China Finance Association Green Finance Professional Committee in 2015,China has gradually raised its focus on corporate social responsibility fulfillment.In recent years,China has also encouraged listed companies to disclose corporate social responsibility reports to the public every year.Recently,the CSRC also proposed to improve the quality of information disclosure of listed companies by improving laws and regulations.This shows that China is paying more and more attention to corporate social responsibility.Therefore,investors need to pay attention to the social responsibility risks faced by enterprises,both in terms of economic interests and morality.E nterprises that actively fulfill their social responsibilities will undoubtedly have broader prospects and room for growth,and will also bring more profits to investors.This paper studies the impact of social responsibility investment fund screening intensity on performance.First of all,this article has written a comprehensive literature review by reading a large amount of relevant literature.Secondly,this paper clearly expounds the theoretical basis related to this topic and elaborates on key concepts.Thirdly,this paper determines the measurement of related variables and constructs an empirical analysis model.When selecting relevant variables,according to China's social responsibility investment standard norms and research needs,this paper divides the fund screening intensity into core screening intensity and segmentation screening intensity.At the same time,in order to study fund performance in more detail,this paper divides fund performance into fund yield and fund risk.Then the paper select s the monthly data of 38 socially responsible investment funds from 2016 to 2018,collects and processes the data,and then conducts empirical analysis.In the process of selecting samples,based on China's national conditions,this paper separates the green funds from the socially responsible investment funds and conducts separate research.Green fund refers to a kind of socially responsible investment fund with green investment direction,such as environmental protection and low carbon.The Green Fund pays more attention to corporate environmental issues than other socially responsible investment funds.Finally,through empirical analysis,this paper finds that only in the green fund sample,the fund's rate of return has a significant positive relationship with the fund's core screening strength.The core screening strength of the green fund has a significant negative relationship with the overall risk and systemic risk of the fund,but the core screening intensity has no significant relationship with the fund's non-systemic risk.There is a significant open-ended curve relationship between the fund's segmentation screening intensity and the fund's overall risk and system risk,but there is no clear relationship between segmentation screening intensity and non-systemic risk.In the two fund samples,the fund screening intensity does not have a significant constraint on fund performance.