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    THE PERFORMANCE OF ESG THEMATIC FUND IN CHINA AND ESG RATINGS

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    Genre
    Thesis/Dissertation
    Date
    2022
    Author
    Zhao, Zhimei cc
    Advisor
    Scott, Jonathan A.
    Committee member
    Bakshi, Xiaohui Gao
    Naveen, Lalitha
    Mudambi, Ram, 1954-
    Department
    Business Administration/Finance
    Subject
    Finance
    ESG rating
    ESG thematic fund
    Five-factor model
    Performance
    Risk return
    Permanent link to this record
    http://hdl.handle.net/20.500.12613/8310
    
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    DOI
    http://dx.doi.org/10.34944/dspace/8281
    Abstract
    We uses ESG thematic funds to conduct a detailed statistical profile of their operating status in the Chinese market, including the size, the proportion of different investment types, and the characteristics of return and risk. The OLS model is used to empirically analyze the applicability of the Fama-French five-factor model in the Chinese mutual fund market. Based on the a ESG rating as a starting point, we study the profit improvement mechanism and risk-return characteristics of the ESG portfolios. The main findings are that the five-factor model better explained the excess returns of ESG thematic funds during the entire sample period of the study and can be used for attribution analysis of the performance. It shows that, despite the poor performance of ESG thematic funds in the market during certain periods, there is no significant difference between the performance of ESG thematic funds and the market during the economic crisis. The ROEs and dividend rates of the ESG high-scoring groups are both higher than those of the ESG low-scoring groups. This shows that companies with higher ESG scores have higher and more sustainable profitability and greater willingness to pay dividends. Furthermore, the ESG high-scoring group has better returns and lower risks.
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