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| Research on Behavior and Performance of Socially Responsible Investing Based on Fund Holdings |
| ZHANG Cheng，ZHU Shushang，WU Ying，CHEN Mingquan |
| 1. Sun Yat-sen University, Guangzhou, China； 2. Stevens Institute of Technology, Hoboken, USA； 3. Guangdong Overseas Finance and Investment Association, Guangzhou, China |
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Abstract This paper adopts fund-level CSR to measure fund social responsibility, and studies the behavioral characteristics and financial performance of socially responsible investing of funds in China. The regression analysis on investment behavior shows that Chinese socially responsible funds value environmental protection and that there are size and value effects on fund social responsibility. Better fund social responsibility benefits investment performance overall, while further research based on fund social responsibility subscores shows that funds may to some extent sacrifice financial performance for environmental protection and that they can also benefit from valuing narrow-sense social responsibility and shareholder interests. The above three dimensions related to investment performance echo the ESG criteria widely accepted by the international community, respectively, but they are rooted in the traditional Taoist and Confucian culture of China.
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Received: 10 March 2021
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