000133138 001__ 133138
000133138 005__ 20240322124130.0
000133138 0247_ $$2doi$$a10.1016/j.eswa.2024.123288
000133138 0248_ $$2sideral$$a137820
000133138 037__ $$aART-2024-137820
000133138 041__ $$aeng
000133138 100__ $$aVilas, Pablo
000133138 245__ $$aThe limited role of sustainability in mutual fund investor decisions: A machine learning approach
000133138 260__ $$c2024
000133138 5060_ $$aAccess copy available to the general public$$fUnrestricted
000133138 5203_ $$aDespite 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.
000133138 536__ $$9info:eu-repo/grantAgreement/ES/AEI/PID2022-136818NB-I00$$9info:eu-repo/grantAgreement/ES/DGA/S38-23R$$9info:eu-repo/grantAgreement/ES/UZ/JIUZ-2021-SOC-03
000133138 540__ $$9info:eu-repo/semantics/openAccess$$aby$$uhttp://creativecommons.org/licenses/by/3.0/es/
000133138 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion
000133138 700__ $$0(orcid)0000-0003-3661-5448$$aAndreu, Laura$$uUniversidad de Zaragoza
000133138 700__ $$0(orcid)0000-0003-2596-9638$$aSerrano-Cinca, Carlos$$uUniversidad de Zaragoza
000133138 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab.
000133138 773__ $$g247 (2024), 123288 [16 pp.]$$pExpert syst. appl.$$tExpert Systems with Applications$$x0957-4174
000133138 8564_ $$s1401790$$uhttps://zaguan.unizar.es/record/133138/files/texto_completo.pdf$$yVersión publicada
000133138 8564_ $$s2734842$$uhttps://zaguan.unizar.es/record/133138/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada
000133138 909CO $$ooai:zaguan.unizar.es:133138$$particulos$$pdriver
000133138 951__ $$a2024-03-22-09:47:39
000133138 980__ $$aARTICLE