Summary:
With the growing awareness of environmental responsibility among investors, as a professional financial institution, public funds have become an important vehicle for social capital to participate in green investment. However, public funds still face theoretical and practical obstacles in the process of helping green investment and financing, and improving the green financial system. If the two factors of fund financial performance and environmental performance are not included in the empirical model, it is impossible to identify the dual investment goals of green fund investors to pursue both financial and environmental returns. Especially for China's fund market, there is little direct evidence that investors will pursue the environmental performance brought by green investment, and the above problems have hindered the practice of green investment and financing, market supervision and guidance, and further academic research. Clarifying the above issues is not only helpful for current investor guidance and fund operation, but can also promote long-term corporate green transformation, sustainable economic development, and ethical and social responsibility practice. Based on data on China's active public offering of funds obtained from Wind, CSMAR, and other databases, this paper measures the environmental performance of funds as a non-financial performance indicator by referring to different green enterprise measurement standards. On this basis, we incorporate environmental performance indicators into the fund performance-flow relationship model, and find that both fund financial performance and environmental performance will significantly increase fund net inflow. In order to test the robustness of the model, this paper adjusts several technical processes of environmental and financial performance indicators, and takes measures such as controlling more factors and excluding samples that may introduce confounding effects, and finds that the main conclusions remain robust. In other words, this paper obtains consistent research conclusions in different indicators, models, and samples, especially in different defining methods of green enterprises. Further research shows that both institutional and individual investors have the following characteristics. Green fund investors have a higher degree of positive reaction to environmental performance. The fund's holding of green stocks has no significant impact on its financial performance. In addition, investors of funds with lower financial performance rankings, smaller size, and more recent establishment are more responsive to environmental performance. The conclusions of this paper have implications for investor guidance, enterprise green information disclosure, fund operation guidance, and other aspects. First, in terms of investor guidance, improving investors' awareness of environmental protection and social responsibility can guide more social funds to invest in funds with better environmental performance. Second, strengthening corporate green information disclosure and establishing a unified green enterprise evaluation standard can help investors more accurately evaluate the environmental benefits of fund investment. Third, in the fund portfolio management and follow-up supervision, guiding funds to effectively screen and actively increase their holdings of green stocks can help improve their capital inflow. In particular, for green funds, implementing green investment principles and striving to improve environmental performance should become their rational choice. The marginal contributions of this paper are as follows: First, for the study of the impact of non-financial factors on capital flow, this paper directly incorporates the non-financial performance factor of environmental performance into the model, thus providing more targeted and robust empirical evidence. Second, in the context of controversial green stock screening standards, this paper comprehensively uses a variety of different standards to quantitatively evaluate the environmental performance of funds and obtains consistent conclusions among different indicators. Third, this paper provides the latest empirical evidence for the existing debate on the impact of green investment of funds on fund performance. Fourth, this paper further expands the empirical evidence of fund investors' pursuit of fund environmental performance by screening samples based on prospectus information and analyzing the heterogeneity of fund financial performance ranking. If the subsequent disclosure frequency of fund position information can be improved, the data frequency can be refined from quarterly to monthly. Exploring the differences in the relationship between environmental performance and capital flows between funds in different countries and their determinants is also valuable for future research.
胡金焱, 徐明宇. 基金绿色组合管理能否赢得市场资金额外支持？——基金投资者的双重目标识别[J]. 金融研究, 2025, 544(10): 170-187.
HU Jinyan, XU Mingyu. Can Fund's Green Portfolio Management Get Additional Support of Market Capital? Identifying the Dual Objectives of Fund Investors. Journal of Financial Research, 2025, 544(10): 170-187.
[1]陈国进、 丁赛杰、 赵向琴和蒋晓宇,2021,《中国绿色金融政策, 融资成本与企业绿色转型——基于央行担保品政策视角》,《金融研究》第12期,第75～95页。 [2]韩立岩、 蔡立新和尹力博,2017,《中国证券市场的绿色激励: 一个四因素模型》,《金融研究》第1期,第145～161页。 [3]姜广省、 卢建词和李维安,2021,《绿色投资者发挥作用吗？——来自企业参与绿色治理的经验研究》,《金融研究》第5期,第117～134页。 [4]雷雷、张大永和姬强,2023,《共同机构持股与企业ESG表现》,《经济研究》第4期,第133～151页。 [5]李向前、赵锐和王菊,2024,《ESG投资提高了基金业绩吗？——兼论ESG投资对“业绩-资金流量关系”的影响》,《南开经济研究》第6期,第185～203页。 [6]刘京军和苏楚林,2016,《传染的资金: 基于网络结构的基金资金流量及业绩影响研究》,《管理世界》第1期,第54～65页。 [7]陆蓉、 陈百助、 徐龙炳和谢新厚,2007,《基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究》,《经济研究》第6期,第39～50页。 [8]乔海曙和龙靓,2010,《我国资本市场对 SRI 反应的实证研究》,《金融研究》第7期,第131～143页。 [9]唐亚晖、 姚志远和肖茜文,2019,《绿色开放式基金绩效与资金流量关系研究》,《经济纵横》第8期,第116～124页。 [10]王康仕、 孙旭然和王凤荣,2019,《绿色金融发展, 债务期限结构与绿色企业投资》,《金融论坛》第7期,第9～19页。 [11]危平和舒浩,2018,《中国资本市场对绿色投资认可吗？——基于绿色基金的分析》,《财经研究》第5期,第23～35页。 [12]肖峻和石劲,2011,《基金业绩与资金流量: 我国基金市场存在 “赎回异象” 吗？》,《经济研究》第1期,第112～125页。 [13]于瑾、 刘翔和丁春霞,2016,《基金组合披露, 投资者关注与业绩持续性》,《国际金融研究》第4期,第74～83页。 [14]邹小芃、 胡嘉炜和姚楠,2019,《绿色证券投资基金财务绩效, 环境绩效与投资者选择》,《上海经济研究》第12期,第33～44页。 [15]Auer, B. R., 2016, “Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value？”, Journal of Business Ethics, 135(2), pp.381～397. [16]Barber, B. M., A. Morse and A. Yasuda, 2021, “Impact Investing”, Journal of Financial Economics, 139(1), pp.162～185. [17]Bauer, R., T. Ruof and P. Smeets, 2021, “Get Real！ Individuals Prefer More Sustainable Investments”, Review of Financial Studies, 34(8), pp.3976～4043. [18]Benson, K. L. and J. E. Humphrey, 2008, “Socially Responsible Investment Funds: Investor Reaction to Current and Past Returns”, Journal of Banking & Finance, 32(9), pp.1850～1859. [19]Berk, J. B. and R. C. Green, 2004, “Mutual Fund Flows and Performance in Rational Markets”, Journal of Political Economy, 112(6), pp.1269～1295. [20]Bollen, N. P. B., 2007, “Mutual Fund Attributes and Investor Behavior”, Journal of Financial and Quantitative Analysis, 42(3), pp.683～708. [21]Busch, T., R. Bauer and M. Orlitzky, 2016, “Sustainable Development and Financial Markets: Old Paths and New Avenues”, Business & Society, 55(3), pp.303～329. [22]Chuprinin, O. and D. Sosyura, 2018, “Family Descent as a Signal of Managerial Quality: Evidence from Mutual Funds”, Review of Financial Studies, 31(10), pp.3756～3820. [23]Climent, F. and P. Soriano, 2011, “Green and Good？ The Investment Performance of US Environmental Mutual Funds”, Journal of Business Ethics, 103(2), pp.275～287. [24]Fama, E. F. and K. R. French, 2015, “A Five-Factor Asset Pricing Model”, Journal of Financial Economics, 116(1), pp.1～22. [25]Hartzmark, S. M. and A. B. Sussman, 2019, “Do Investors Value Sustainability？ A Natural Experiment Examining Ranking and Fund Flows”, Journal of Finance, 74(6), pp.2789～2837. [26]Hong, H. and L. Kostovetsky, 2012, “Red and Blue Investing: Values and Finance”, Journal of Financial Economics, 103(1), pp. 1～19. [27]Huang, J., K. D. Wei and H. Yan, 2022, “Investor Learning and Mutual Fund Flows”, Financial Management, 51(3), pp.739～765. [28]Kempf, A. and S. Ruenzi, 2008, “Tournaments in Mutual-Fund Families”, Review of Financial Studies, 21(2), pp.1013～1036. [29]Muñoz, F., 2019, “The ‘Smart Money Effect' among Socially Responsible Mutual Fund Investors”, International Review of Economics & Finance, 62, pp.160～179. [30]Pástor, L'., R. F. Stambaugh and L. A. Taylor, 2021, “Sustainable Investing in Equilibrium”, Journal of Financial Economics, 142(2), pp.550～571. [31]Pedersen, L. H., S. Fitzgibbons and L. Pomorski, 2021, “Responsible Investing: The ESG-Efficient Frontier”, Journal of Financial Economics, 142(2), pp.572～597. [32]Raghunandan, A. and S. Rajgopal, 2022, “Do ESG Funds Make Stakeholder-Friendly Investments？”, Review of Accounting Studies, 27(3), pp.822～863. [33]Renneboog, L., J. T. Horst and C. Zhang, 2008a, “Socially Responsible Investments: Institutional Aspects, Performance, and Investor Behavior”, Journal of Banking & Finance, 32(9), pp.1723～1742. [34]Renneboog, L., J. T. Horst and C. Zhang, 2008b, “The Price of Ethics and Stakeholder Governance: The Performance of Socially Responsible Mutual Funds”, Journal of Corporate Finance, 14(3), pp.302～322. [35]Riedl, A. and P. Smeets, 2017, “Why Do Investors Hold Socially Responsible Mutual Funds？”, Journal of Finance, 72(6), pp.2505～2550. [36]Shen, H., H. Lin, W. Han and H. Wu, 2023, “ESG in China: A Review of Practice and Research, and Future Research Avenues”, China Journal of Accounting Research, 16(4), pp. 1～25. [37]Silva, F. and M. C. Cortez, 2016, “The Performance of US and European Green Funds in Different Market Conditions”, Journal of Cleaner Production, 135, pp.558～566. [38]Sirri, E. R. and P. Tufano, 1998, “Costly Search and Mutual Fund Flows”, Journal of Finance, 53(5), pp.1589～1622. [39]Zerbib, O. D., 2019, “The Effect of Pro-Environmental Preferences on Bond Prices: Evidence from Green Bonds”, Journal of Banking & Finance, 98, pp.39～60.
