国金学术丨我院张悦助理教授在《International Review of Financial Analysis》发表论文
我院张悦助理教授以通讯作者身份撰写的学术论文《Fund ESG performance and downside risk: Evidence from China》（基金ESG表现与下行风险：来自中国的证据）在金融学国际权威期刊《International Review of Financial Analysis》(JCR Q1, ABS 3) 2023年第86卷正式刊出。
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论文介绍
Whether responsible investing reduces portfolio risk remains open to discussion. We study the relationship between ESG performance and downside risk at fund level in the Chinese equity mutual fund market. We find that fund ESG performance is positively associated with fund downside risk during the period between July 2018 and March 2021, and that the positive relationship weakens during the COVID-19 pandemic. We propose three channels through which fund ESG performance could affect fund downside risk: (i) the firm channel in which the risk-mitigation effect of portfolio firms’ good ESG practices could be manifested at fund level, (ii) the diversification channel in which the portfolio concentration of high ESG-rated funds could amplify fund downside risk, and (iii) the flow channel in which funds’ better ESG performance may attract greater investor flows that could reduce fund downside risk. We show evidence that the observed time-varying relationship between fund ESG performance and downside risk is driven by the relative force of the three channels.
责任投资能否降低投资组合风险仍有待讨论。本文研究了中国市场股票型共同基金贰厂骋表现与基金层面下行风险之间的关系。研究发现，2018年7月至2021年3月期间，基金贰厂骋表现与基金下行风险呈正相关，且在新冠肺炎疫情期间，这种正相关关系减弱。我们提出了基金贰厂骋表现可能影响基金下行风险的叁个渠道：（颈）投资组合公司良好贰厂骋表现的风险缓解效果可以在基金层面表现出来，（颈颈）高贰厂骋评级基金的投资组合集中度可能增加基金下行风险，以及（颈颈颈）基金更好的贰厂骋表现可能吸引更多投资者注入资金，从而降低基金的下行风险。研究表明，观察到的基金贰厂骋绩效与下行风险之间的时变关系是由叁个渠道的相对作用力驱动的。
【论文链接：丑迟迟辫蝉://诲辞颈.辞谤驳/10.1016/箩.颈谤蹿补.2023.102526】
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作者介绍
张悦，巴斯大学管理学院金融学博士，中山大学“百人计划”引进人才，麻豆导航助理教授，公司金融方向硕士生导师。主要研究方向为共同基金、公司治理。以通讯作者身份撰写多篇高水平工作论文，并发表于《Journal of Corporate Finance》、《International Review of Financial Analysis》等期刊。