Active fund management when ESG matters
构建并检验了考虑ESG因素的主动型基金管理均衡模型，发现可持续偏好促使基金经理扩大信息获取范围，提升价格有效性，并导致ESG与预期收益呈负向凹形关系。
This paper develops and tests an equilibrium model of active fund management with ESG considerations. Heterogeneous sustainability preferences lead fund managers to intensify information acquisition on assets across the ESG spectrum, broadening the scope of active management. This information channel enhances price informativeness, lowers discount rates, and increases portfolio deviation from benchmarks. The model predicts a negative and concave ESG-expected return relation, stronger for green assets and weaker for brown assets. Using data on U.S. mutual funds and stocks from 2007–2021, we find supporting evidence based on price informativeness and the implied cost of equity capital.