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SUMMARY:Flow-Driven ESG Returns
DTSTART:20230117T120000
DTEND:20230117T130000
DTSTAMP:20260408T183321Z
UID:61b9884ab027214b66035cd2c699750861b2257cb584f89bcda7b3c8
CATEGORIES:Conferences - Seminars
DESCRIPTION:Philippe van der Beck\, PhD at SFI@EPFL\nI show that the retur
 ns from sustainable investing are strongly driven by price pressure from f
 lows towards sustainable funds\, causing high realized returns that do not
  reflect high expected returns. Using a structural model\, I estimate inve
 stors’ ability to accommodate the demand from sustainable funds\, which 
 is given by their elasticity of substitution between stocks. I show that e
 very dollar flowing from the market portfolio into sustainable mutual fund
 s increases the aggregate value of green stocks by $0.4. The price pressur
 e from flows supports the effectiveness of impact investing by lowering gr
 een firms’ cost of capital. In the absence of flow-driven price pressure
 \, sustainable funds would have underperformed the market from 2016 to 202
 1. To this end\, I develop a new measure of total capital flows into manag
 ed portfolios. The price pressure from total ESG flows is highly correlate
 d with empirically observed returns\, both in the time-series and in the c
 ross-section. I support the structural estimates with reduced-form evidenc
 e\, showing that index inclusions and mandate-driven portfolio additions b
 y sustainable mutual funds significantly boost the prices of green stocks.
 \n 
LOCATION:UniL Campus\, Room Extra 126
STATUS:CANCELLED
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