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Sebastian Fischer
Former Member
Last Name
Fischer
First name
Sebastian
Phone
+41 71 224 7015
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Item type:Publication, The Impact of the Morningstar Sustainability Rating on Mutual Fund FlowsWe examine the effect of the introduction of Morningstar’s Sustainability Rating in March 2016 on U.S. mutual equity fund flows. Using panel regressions, propensity score matching, and an event study methodology we find strong and robust evidence that retail investors shift money away from low-rated and into high-rated funds. The effect is driven by the publication of the Morningstar Sustainability Rating and not due to a general attractiveness of sustainable funds. Institutional investors do not react to the publication of the Rating. We estimate that an average high-rated retail fund receives between $ 4.1 million and $ 10.1 million higher inflows and an average low-rated retail fund suffers from $ 1.0 million to $ 5.0 million lower net flows than an average-rated fund during the first year after the Rating was published.Type:journal articleJournal:European Financial ManagementVolume:25Issue:3Scopus© Citations 88 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Factor Exposure Variation and Mutual Fund PerformanceWe investigated the relationship between a mutual fund’s variation in factor exposures and its future performance. Using a dynamic state-space version of the Carhart (1997) four-factor model to capture factor variations, we found that funds with volatile factor exposures underperform funds with stable factor exposures by 147 bps a year. This underperformance is explained neither by volatile factor loadings of a fund’s equity holdings nor by a fund’s forced trading through investor flows. We conclude that fund managers voluntarily attempt to time factors but are unsuccessful at doing so.Type:forthcomingJournal:Financial Analysts JournalVolume:76Issue:4Scopus© Citations 2