| Under the background of "carbon peak" and "carbon neutral",the philosophy of Environmental,Social and Governance(ESG)responsible investment has attracted wide attention.ESG responsible investment emphasizes incorporating environmental,social and governance factors into investment decisions,optimizing investment structure,reducing investment risks and obtaining sustainable returns.In recent years,the market size and share of mutual funds have grown rapidly.Open-end funds allow investors to purchase and redeem freely,and also regularly disclose information such as size,performance and investment portfolio.Based on this,the research on the determinants and impacts of mutual funds’ ESG investment is helpful to understand whether China’s fund market participants recognize and practice the philosophy of ESG responsible investment.This paper takes China’s common equity open-end funds and A-share listed companies from 2018 to the first half of 2022 as the research samples,calculates fund ESG scores by weighted average of ESG indicators of listed companies based on the actual shareholding of the fund,and explores the determinants of mutual fund ESG investment and its impact on fund performance-flow relationship and the ESG performance of investee companies.The results show that:(1)Funds that are willing to undertake ESG investment have larger asset size,lower return volatility and higher shareholding concentration.(2)Fund ESG investment can reduce the sensitivity of fund net flow to performance.Specifically,fund ESG investment can reduce the sensitivity of investors’ purchase and redemption behaviors to performance at the same time;it mainly reduces the sensitivity of individual investors to performance and has no significant impact on institutional investors;it has a significant effect in the bull market,but no significant effect in the bear market.(3)Fund shareholding is a positive feedback to listed companies’ good ESG performance,and the holding of funds with good ESG performance can motivate listed companies to maintain their efforts in fulfilling ESG responsibilities.This paper finds that investors of mutual funds in China pay attention to the philosophy of ESG responsible investment in practice,so fund managers can reduce investors’ frequent purchase and redemption through ESG investment and maintain the stability of fund size.Practicing ESG responsible investment philosophy can establish a virtuous cycle among listed companies,funds and investors.Therefore,relevant Chinese policymakers and regulators should continue encouraging and guiding ESG responsible investment,curb "greenwashing" behavior,build an ESG practice system with Chinese characteristics,and promote the healthy and long-term development of the fund market. |
