基金ESG投资承诺效应——来自公募基金签署PRI的准自然实验

Effect of Funds'Commitment to ESG Investment:A Quasi-natural Experiment from Chinese Mutual Funds Signing the UN PRI

联合国负责任投资原则(PRI)是国际权威的ESG投资倡议。本文基于中国公募基金签署PRI的准自然实验,研究基金公司做出ESG投资承诺之后是否显著提升了绿色投资水平。研究发现:相对于非PRI基金,基金公司签署PRI之后表现出显著更高的绿色投资偏好,基金投资组合中关于绿色创新型公司的股票投资金额增长了约440.3亿元,且这一效应在基金投资组合面临更高的环保规制风险和公众环保关注压力时显著更强;当PRI基金公司有更多资产在投资程序中考虑ESG因素,或在权益估值程序中更多考虑环境和社会风险时,旗下基金的绿色投资水平显著更高;进一步地,基金公司签署PRI之后更倾向于招募具有环保背景的基金经理,并吸引了更多长期资金的流入,表明人才机制和资金流入机制是PRI基金提升绿色投资偏好的重要路径。经济效益分析显示,基金公司签署PRI之后显著提升了标的企业的绿色创新能力,基金绿色转型也有助于提升基金业绩。本文研究表明,基金公司签署PRI是一种可信的绿色转型信号,有助于促进企业绿色创新,进而实现基金行业和经济高质量发展的目标。

The United Nations Principles for Responsible Investment(PRI)is the world's leading environmental,social,and governance(ESG)initiative,which encourages investors to incorporate ESG issues into their investment decisions and to actively engage in the portfolio companies.At present,the PRI boasts more than 5,o00 signatories,with combined assets under management of over USD 120 trillion,and is an important source of capital for ESG investments.As the ESG investment concept has gained popularity,more and more Chinese mutual funds have also signed the PRI initiative.By the end of 2021,23 mutual fund companies in China have signed the PRI initiative,with 1,658 funds under management and a fund market value of CNY 3.31 trillion,accounting for 55.91%of the total market value of the Chinese mutual fund industry.Therefore,it is of great practical significance to explore the motivation behind the signing of the PRI initiative by Chinese mutual fund companies and its impact on green investment of funds and green technology innovation of portfolio companies.By signing the PRI initiative,mutual funds make a public commitment to responsible investment.Prior research has documented that PRI signatories attract large fund inflows due to the advertising effect of the label of responsible investment,and PRI signatories help to improve the environmental and social performance of portfolio companies after investing in them.However,many papers have also found that signing the PRI initiative may also become one way for mutual funds to“greenwash,”which will lead to the misallocation of green capital resources and weaken the effectiveness of funds in serving green economic development.Therefore,it is still an empirical question whether the signing of the PRI initiative means the green transformation or the“greenwashing”behavior of mutual fund companies.This paper adopts the difference-in-differences model and examines whether the Chinese mutual funds actually increased the green investment level after they signed the PRI initiative.We find that compared to the non-PRI funds,the PRI funds significantly increase their level of green investment after they sign the PRI.The amount of equity investment in portfolio companies with a higher ability of green innovation increases by about CNY 44.03 billion.The above effect is significantly stronger for mutual funds when their portfolios face higher environmental regulatory risks and public environmental concerns.We also find that the PRI funds that report that they have a formal process to identify material ESG factors for majority assets,or their financial modeling and equity valuation process incorporate material ESG risks do actually increase more in green investment after they sign the PRI initiative.Further,the PRI funds are more likely to recruit environmentally friendly fund managers and attract more long-term fund inflows after they sign the PRI initiative.We lastly show that the PRI funds have significantly promoted the green innovation ability of portfolio companies,and those with higher levels of green investment perform better than other funds.Overall,our findings suggest that the signing of the PRI initiative by Chinese mutual funds can be a reliable signal for the green transformation of the funds,which can effectively guide the flow of capital into green and innovative enterprises,to further improve the enterprise's green innovation ability.ESG investment of funds is an important part of the sustained finance system and green investment system.The current findings about the effect of funds'commitment to ESC investment are still inconsistent.This paper is the first one that systematically examines the motivation and real effects of the Chinese mutual funds signing the PRI initiative.We also provide a theoretical analysis framework for institution-driven fund companies signing the PRI initiative and their green investment behaviors.Therefore,this paper contributes to the literature on fund companies signing the PRI initiative and also deepens our understanding of the motivations and behaviors of Chinese fund companies signing the PRI initiative.In addition,this paper enriches the literature on sustainable finance promoting green technology innovation from the perspective of green funds.