“Performance and Flow of SRI Mutual Funds and Investors Sophistication” – seminar online by QFRG and DSLab [16.01.2023]
We kindly invite to join the coming seminar organised jointly by the Quantitative Finance Research Group and Data Science Lab.
During the meeting “Performance and Flow of SRI Mutual Funds and Investors Sophistication” Olga Klinkowska, Ph.D. (Kozminski University) and Yuan Zhao, Ph.D. (Henley Business School, University of Reading, University of Aberdeen Business School) will present the results of their study.
The meeting will take place on January 16th, 2022 (Monday) at 6:30 p.m. via Zoom platform.
Meeting ID: 982 2842 8808, passcode: 636564, the direct link: https://bit.ly/qfrg-dslab-seminar
The meeting will be conducted in English. The presentation is scheduled for about 45 minutes, and after that we invite you to a discussion.
Please log in at the latest at 6:20 PM. The presentation will start at 6:30 PM.
Joining a meeting implies consent to the recording. Please turn off cameras and microphones during the presentation and send the questions to the speaker in the chat.
Presentation abstract:
In this paper we provide a comprehensive analysis of the performance of US SRI mutual funds as well as its relation to the flow of new money that those funds experience in the context of investors sophistication. In particular, we compare the performance of SRI retail and institutional share classes and we analyse flow-performance and performance-flow relation for those classes. Our paper provides new insights into the role of the investors sophistication for those relations in the presence of sustainability preferences. We find that SRI mutual fund sector earns positive abnormal returns before expenses and retail SRI funds outperform their institutional peers both, before and after fees. Moreover, we find a positive flow-performance relation which is convex for SRI retail funds and linear for the SRI institutional ones. Finally, we cannot confirm the smart money effect for SRI retail funds, instead we find a dumb money effect for SRI institutional funds.
