Hartzmark and Sussman (2018)

Hartzmark, Samuel and Abigail Sussman.  “Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows.” European Corporate Governance Institute (ECGI) - Finance Working Paper No. 565/2018, July 2018.

Conducts a natural experiment around the introduction of the Morningstar Globe ratings and finds that they move significant market share from poorly-ranked to highly-ranked funds:  "Being categorized as low sustainability resulted in net outflows of more than $12 billion while being categorized as high sustainability led to net inflows of more than $24 billion.  Experimental evidence suggests that sustainability is viewed as positively predicting future performance, but we do not find evidence that high sustainability funds outperform low sustainability funds."

LK comment: Outstanding paper, won 2018 Moskowitz Prize

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3016092