Does sustainable investing reduce portfolio risk? A multilevel analysis
用连续指标衡量基金的可持续性特征，发现可持续投资能显著降低股票基金的总风险、系统性风险和特质风险，且风险降低主要通过基金持有的公司特征实现。
Abstract This study complements and extends prior research on the risk mitigation role of sustainable investing. We use a continuous measure of funds' sustainability traits, rather than a categorical approach, and assess impact on risk directly rather than by looking at fund performance in up versus down markets. We find that sustainable investing plays a significant role in mitigating total, systematic, and idiosyncratic risk of equity funds, even after controlling for other fund characteristics. Further evidence indicates that the explanation for the risk reduction role of sustainable funds largely runs through traits of the firms held in the funds.