Green Window Dressing

• 成果类型: Article; Early Access
• 署名作者: Parise, Gianpaolo; Rubin, Mirco
• 署名单位: Tilburg University; Centre for Economic Policy Research - UK; Universite Catholique de Lille; EDHEC Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13499
• 发表日期: 2025
• 关键词: performance; RISK; tournaments; funds; price

摘要

This paper establishes that mutual funds strategically time their trades in environmental, social, and governance (ESG) stocks around disclosure dates to inflate their sustainability ratings. This claim is supported by three empirical findings. First, we show that funds' ESG betas increase shortly before disclosure and decrease shortly afterwards. Second, we document that post-disclosure fund returns are higher but have lower ESG exposure than disclosed portfolios. Third, we provide evidence that ESG stock prices temporarily rise before disclosure and decline afterwards. Overall, we establish that green window dressing positively impacts fund sustainability ratings, performance, and flows.