The limited role of sustainability in mutual fund investor decisions: A machine learning approach
Resumen: Despite the growth in the supply of socially responsible investment products, the weight of environmental, social and governance (ESG) factors in the decisions of mutual fund investors remains under-researched. We conducted a study relating fund flows to past returns, ESG performance and other financial variables using data from 3,767 US mutual funds from 2015 to 2021. First, we aimed to assess the importance of ESG performance in investment decisions. Next, we studied whether ESG performance is increasingly important or has reached its limit. Finally, we developed decisional models to predict the flows raised by each investment fund, its financial return and ESG performance. We used logistic regression, neural networks, random forest and gradient boosting decision trees. We found that the investors consider ESG performance, but the factors that matter most are past growth, mutual fund fees and past returns. Our models predicted the money raised by the funds, obtaining accuracy rates of around 70%. In addition to confirming that “past financial return does not guarantee future financial return,” we found that “past ESG performance guarantees future ESG performance,” which may be of interest to socially responsible investors.
Idioma: Inglés
DOI: 10.1016/j.eswa.2024.123288
Año: 2024
Publicado en: Expert Systems with Applications 247 (2024), 123288 [16 pp.]
ISSN: 0957-4174

Financiación: info:eu-repo/grantAgreement/ES/AEI/PID2022-136818NB-I00
Financiación: info:eu-repo/grantAgreement/ES/DGA/S38-23R
Financiación: info:eu-repo/grantAgreement/ES/UZ/JIUZ-2021-SOC-03
Tipo y forma: Artículo (Versión definitiva)
Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)

Creative Commons Debe reconocer adecuadamente la autoría, proporcionar un enlace a la licencia e indicar si se han realizado cambios. Puede hacerlo de cualquier manera razonable, pero no de una manera que sugiera que tiene el apoyo del licenciador o lo recibe por el uso que hace.


Exportado de SIDERAL (2024-03-22-09:47:39)


Visitas y descargas

Este artículo se encuentra en las siguientes colecciones:
Artículos



 Registro creado el 2024-03-22, última modificación el 2024-03-22


Versión publicada:
 PDF
Valore este documento:

Rate this document:
1
2
3
 
(Sin ninguna reseña)