The Sustainability Footprint of Institutional Investors

The Sustainability Footprint of Institutional Investors

Rajna Gibson Brandon, Philipp Krüger

Series number :

Serial Number: 
571/2018

Date posted :

August 27 2018

Last revised :

August 18 2018
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Keywords

  • investment horizon • 
  • institutional investors • 
  • sustainability footprint • 
  • environmental footprint • 
  • social footprint • 
  • portfolio turnover • 
  • risk-adjusted performance • 
  • CSR • 
  • ESG impact • 
  • socially responsible investing • 
  • sustainable investing • 
  • impact investing

We propose a novel way of measuring the portfolio-level environmental and social characteristics of 13F institutional investors (the “sustainability footprint”). We show that the environmental (social) footprint of institutional investors has improved (deteriorated) over time and that institutions with longer investment horizons exhibit better footprints.

Linking investment performance and footprints, we provide evidence that measures of risk-adjusted returns are positively related to the environmental footprint, with this link being particularly pronounced for institutions with longer investment horizons. Using exogenous shocks to sustainability preferences induced by natural disasters we provide evidence of a causal impact of sustainability on investment performance.
 

Published in

Published in: 
Publication Title: 
Swiss Finance Institute
Description: 
Research Paper No. 17-05

Authors

Real name:
Philipp Krüger