Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance

Detalhes bibliográficos
Autor(a) principal: Lindemann, Jost Christoph
Data de Publicação: 2023
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/42851
Resumo: This master's dissertation examines the impact of the Sustainable Finance Disclosure Regulation (SFDR) on mutual equity funds domiciled in the Eurozone, specifically those governed by Article 9, and the ensuing behavioural repercussions on investors. This academic endeavour contributes to the growing empirical evidence positing the SFDR regulation as an effective bulwark against greenwashing. This is substantiated through the analysis of cross-sectional data procured from two independent ESG data providers, Refinitiv and MSCI, demonstrating that funds governed by Article 9 consistently deliver superior ESG metrics. Further, this dissertation probes the propensity of investors to allocate a greater quantum of capital towards Article 9 funds and ventures into a detailed analysis of the inherent characteristics of these investors. Utilising a panel data dataset and deploying a difference-in-differences model revealed that investors demonstrate a preference for Article 9 funds preceding the final implementation date of 10th March 2021. Additionally, these investors exhibit signs of higher resilience. Lastly, this research assesses performance disparities by deploying the Fama and French 3-Factor Model. The analysis suggests that Article 9 funds are characterised by heightened factor exposure to growth investments. Nevertheless, during the observation period spanning 2018 to 2022, SFDR 9 funds do not exhibit a positive alpha. However, when assessed through a difference-in-differences lens, these funds demonstrate a significantly higher alpha than their counterparts.
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spelling Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performanceMutual fundsEquity fundsESGSFDRSustainability ratingsFund flowsInvestor characteristicsFund performanceFundos mútuosFundos de acçõesRatings de sustentabilidadeFluxos de fundosCaracterísticas dos investidoresDesempenho dos fundosDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis master's dissertation examines the impact of the Sustainable Finance Disclosure Regulation (SFDR) on mutual equity funds domiciled in the Eurozone, specifically those governed by Article 9, and the ensuing behavioural repercussions on investors. This academic endeavour contributes to the growing empirical evidence positing the SFDR regulation as an effective bulwark against greenwashing. This is substantiated through the analysis of cross-sectional data procured from two independent ESG data providers, Refinitiv and MSCI, demonstrating that funds governed by Article 9 consistently deliver superior ESG metrics. Further, this dissertation probes the propensity of investors to allocate a greater quantum of capital towards Article 9 funds and ventures into a detailed analysis of the inherent characteristics of these investors. Utilising a panel data dataset and deploying a difference-in-differences model revealed that investors demonstrate a preference for Article 9 funds preceding the final implementation date of 10th March 2021. Additionally, these investors exhibit signs of higher resilience. Lastly, this research assesses performance disparities by deploying the Fama and French 3-Factor Model. The analysis suggests that Article 9 funds are characterised by heightened factor exposure to growth investments. Nevertheless, during the observation period spanning 2018 to 2022, SFDR 9 funds do not exhibit a positive alpha. However, when assessed through a difference-in-differences lens, these funds demonstrate a significantly higher alpha than their counterparts.Esta dissertação analisa o impacto do Regulamento relativo à divulgação de informações sobre finanças sustentáveis (Sustainable Finance Disclosure Regulation - SFDR) nos fundos de investimento em ações da zona euro, especificamente nos fundos regidos pelo Artigo 9. Esta tese contribui para as crescentes provas empíricas que apontam o regulamento SFDR como um baluarte eficaz contra greenwashing. Isto é comprovado através da análise de dados transversais obtidos de dois fornecedores independentes de dados ESG, Refinitiv e MSCI, demonstrando que os fundos regidos pelo Artigo 9 consistentemente alcançam métricas ESG superiores. Além disso, esta dissertação investiga a propensão dos investidores para afetarem um maior volume de capital aos fundos do Artigo 9 e analisa as características inerentes a estes investidores. A utilização de um conjunto de dados de painel e a aplicação de um modelo de diferenças em diferenças revelaram que os investidores demonstram uma preferência pelos fundos do Artigo 9 antes da data de implementação final de 10/03/2021. Além disso, estes investidores apresentam sinais de maior resiliência. Por último, este estudo avalia as disparidades de desempenho através da aplicação do modelo de 3-fatores de Fama e French. A análise sugere que os fundos do Artigo 9 se caracterizam por uma maior exposição a fatores de investimento em crescimento. Ainda assim, durante o período de observação de 2018-2022, os fundos SFDR 9 não apresentam um alfa positivo. No entanto, quando avaliados através de uma lente de diferença nas diferenças, estes fundos demonstram um alfa significativamente mais elevado do que os seus homólogos.Karehnke, PaulVeritati - Repositório Institucional da Universidade Católica PortuguesaLindemann, Jost Christoph2023-10-13T07:57:40Z2023-06-302023-062023-06-30T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/42851TID:203327780enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-10-17T01:36:17Zoai:repositorio.ucp.pt:10400.14/42851Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:35:49.726787Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance
title Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance
spellingShingle Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance
Lindemann, Jost Christoph
Mutual funds
Equity funds
ESG
SFDR
Sustainability ratings
Fund flows
Investor characteristics
Fund performance
Fundos mútuos
Fundos de acções
Ratings de sustentabilidade
Fluxos de fundos
Características dos investidores
Desempenho dos fundos
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance
title_full Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance
title_fullStr Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance
title_full_unstemmed Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance
title_sort Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance
author Lindemann, Jost Christoph
author_facet Lindemann, Jost Christoph
author_role author
dc.contributor.none.fl_str_mv Karehnke, Paul
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Lindemann, Jost Christoph
dc.subject.por.fl_str_mv Mutual funds
Equity funds
ESG
SFDR
Sustainability ratings
Fund flows
Investor characteristics
Fund performance
Fundos mútuos
Fundos de acções
Ratings de sustentabilidade
Fluxos de fundos
Características dos investidores
Desempenho dos fundos
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Mutual funds
Equity funds
ESG
SFDR
Sustainability ratings
Fund flows
Investor characteristics
Fund performance
Fundos mútuos
Fundos de acções
Ratings de sustentabilidade
Fluxos de fundos
Características dos investidores
Desempenho dos fundos
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This master's dissertation examines the impact of the Sustainable Finance Disclosure Regulation (SFDR) on mutual equity funds domiciled in the Eurozone, specifically those governed by Article 9, and the ensuing behavioural repercussions on investors. This academic endeavour contributes to the growing empirical evidence positing the SFDR regulation as an effective bulwark against greenwashing. This is substantiated through the analysis of cross-sectional data procured from two independent ESG data providers, Refinitiv and MSCI, demonstrating that funds governed by Article 9 consistently deliver superior ESG metrics. Further, this dissertation probes the propensity of investors to allocate a greater quantum of capital towards Article 9 funds and ventures into a detailed analysis of the inherent characteristics of these investors. Utilising a panel data dataset and deploying a difference-in-differences model revealed that investors demonstrate a preference for Article 9 funds preceding the final implementation date of 10th March 2021. Additionally, these investors exhibit signs of higher resilience. Lastly, this research assesses performance disparities by deploying the Fama and French 3-Factor Model. The analysis suggests that Article 9 funds are characterised by heightened factor exposure to growth investments. Nevertheless, during the observation period spanning 2018 to 2022, SFDR 9 funds do not exhibit a positive alpha. However, when assessed through a difference-in-differences lens, these funds demonstrate a significantly higher alpha than their counterparts.
publishDate 2023
dc.date.none.fl_str_mv 2023-10-13T07:57:40Z
2023-06-30
2023-06
2023-06-30T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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