ESG Preference, Institutional Trading, and Stock Return Patterns
研究发现，社会责任型机构对定量错误定价信号反应较弱，且其持股较多的股票中，这些信号带来的异常回报更大，该现象仅在近年ESG投资兴起且存在套利资金约束时显著。
Abstract Socially responsible (SR) institutions tend to focus more on the environmental, social, and governance (ESG) performance and less on quantitative signals of value. Consistent with this difference in focus, we find that SR institutions react less to quantitative mispricing signals. Our evidence suggests that the increased focus on ESG may have influenced stock return patterns. Specifically, abnormal returns associated with these mispricing signals are greater for stocks held more by SR institutions. The link between SR ownership and the efficacy of mispricing signals only emerges in recent years with the rise of ESG investing, and is significant only when there are arbitrage-related funding constraints.