The Interplay Between Behavioral Finance and Environmental, Social, and Governance (ESG) Investment Decisions: Evidence From Chinese Listed Firms
研究中国政策驱动市场中认知偏差如何影响ESG投资决策，基于2748个基金观测数据和500名基金经理调查，发现政策驱动的羊群效应加剧短期波动，ESG配置偏差与收益呈倒U型关系，且负面冲击的波动效应是正面冲击的1.88倍。
ABSTRACT This study investigates how cognitive biases influence Environmental, Social, and Governance (ESG) investment decisions in China's policy‐driven financial markets. Analyzing 2748 fund observations (2018–2023) and original behavioral survey data from 500 fund managers, we develop a novel ESG allocation deviation index to quantify systematic deviations in ESG portfolio positioning from market‐neutral benchmarks. Employing panel GARCH, quantile regression, and mixed‐effects models, we find that: (1) policy‐driven herding significantly amplifies short‐term fund return volatility, with the effect being more pronounced in bear markets; (2) ESG allocation deviation exhibits an inverted‐U relationship with fund returns, suggesting diminishing marginal benefits beyond an optimal level; (3) negative ESG shocks generate 1.88 times greater volatility than positive shocks, consistent with loss aversion; (4) manager characteristics—particularly gender, education, and experience—significantly moderate ESG‐related biases. By integrating archival fund‐level evidence with survey‐based behavioral evidence within a unified framework, this study advances the understanding of how institutionally conditioned cognitive biases shape ESG investment outcomes in emerging markets.