22 March

"Performance and Flow of SRI Mutual Funds and Investors Sophistication" - Finance Research Seminar Series

We would like to invite all enthusiasts and researchers to the March 2023 Kozminski University Finance Research Seminar!

When? March 22nd 2023 at 12:15 PM (CET) Where? MS Teams (online) Details about the location and remote access will be sent to the provided e-mail address once the registration is completed. The registration form is available below.

Title: Performance and Flow of SRI Mutual Funds and Investors Sophistication

Abstract: In this paper we provide a comprehensive analysis of the performance of US SRI mutual funds as well as its relation to the flow of new money that those funds experience in the context of investors sophistication. In particular, we compare the performance of SRI retail and institutional share classes and we analyse flow-performance and performance-flow relation for those classes. Our paper provides new insights into the role of the investors sophistication for those relations in the presence of sustainability preferences. We find that SRI mutual fund sector earns positive abnormal returns before expenses and retail SRI funds outperform their institutional peers both, before and after fees. Moreover, we find a positive flow-performance relation which is convex for SRI retail funds and linear for the SRI institutional ones. Finally, we cannot confirm the smart money effect for SRI retail funds, instead we find a dumb money effect for SRI institutional funds.

Special speaker: Olga Klinkowska, Ph.D.

Ph.D Olga Klinkowska

Olga Klinkowska is an Associate Professor at Kozminski University in Economic Institute for Empirical Analysis. Her research interests focus on the performance evaluation of mutual funds, empirical investigation of asset pricing models and broadly defined time series analysis.