Gao, Godfrey, and Poon (2018)

Gao, Ning, Christopher Godfrey, and Ser-Huang Poon. “What is in the ESG label? A Study of Self-labeled US Equity Mutual Funds.” Working paper (Alliance Manchester Business School), March 2018.

From the authors’ abstract: “This study examines whether self-labeled SRI funds indeed deliver better ESG performance. By tracing more than 244.7 million data points of asset holdings, and the individual stock KLD scores, we compile KLD scores for 8,876 US equity mutual funds from 2002 to 2015. Using only the keywords in the fund names and the USSIF SRI register, we find mutual funds with names associated with sin stocks have strongly negative ESG performance. Religiously named mutual funds are neutral and indistinguishable from their non-labeled counterparts matched based on their risk factors exposures and fund size. Mutual funds with names associated with ESG have good ESG performance and are slightly ahead of funds that labeled themselves as Social funds.”

Link: https://dl4.globalstf.org/products-page/proceedings/af/what-is-in-the-esg-label/