Market Condition?Flight To Quality And Corporate Social Responsibility

Systemic risks are low during bull markets,while increased during the bear markets.Bull and bear markets represent significant differences in systemic risk in different market conditions.When the market environment is in a doldrums,the asset portfolio risk will increase with the increase of system risk.At that time,the fund's willingness to hedge risks will increase,and the need for risk aversion will be greater.In order to reduce the downside risk of the investment portfolio caused by the poor market environment,the fund will have flight to quality behavior to transfer the portfolio assets towards safer stocks.The reputational capital formed by enterprises actively taking on social responsibilities has the role of "insurance-like",which can prevent the stock price from falling sharply and losing market value when facing negative events or the impact of uncertain environment.So,will the fund transfer its investment portfolio to stocks with higher social responsibility performance for safe investment transfer when the market environment is not good?Therefore,this paper selects the stock-type and mixed-type active management funds in China's open-end funds from 2010 to 2017 as samples,and empirically tests the relationship between market environment,safe investment transfer,and corporate social responsibility.The study found that when the market environment is down,the risk-averse demand of funds increases,and it tends to shift investment portfolios to stocks with high social responsibility performance for safe investment transfer;further research shows that the characteristics of funds and fund managers,such as fund flow,performance and fund management skill,affect the flight to quality behavior of funds.For fund with less net cash inflow,poor historical performance,and managed by less skilled manager,the greater the degree of flight to quality through social responsibility.It is also found that the safe investment transfer behavior of the fund has a positive impact on the fund performance and fund income volatility.