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Mutual Fund Trading, Fund Flows, and ESG Portfolios

Published online by Cambridge University Press:  11 August 2025

Rui Albuquerque Open the ORCID record for Rui Albuquerque [Opens in a new window] ,
Yrjö Koskinen  and
Raffaele Santioni
Rui Albuquerque*
Affiliation:
Boston College Carroll School of Management, ECGI, and CEPR
Yrjö Koskinen
Affiliation:
University of Calgary Haskayne School of Business, and ECGI yrjo.koskinen@ucalgary.ca
Raffaele Santioni
Affiliation:
Bank of Italy raffaele.santioni@bancaditalia.it
*
rui.albuquerque@bc.edu (corresponding author)
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Abstract

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This article studies how ESG and conventional mutual funds trade stocks during the COVID-19 crash. Both fund types trade individual stocks similarly: Net purchases of ESG stocks are less sensitive than other stocks to fund flows pre-crash, but sensitivities increase for all stocks during the crash. In contrast, ESG funds’ aggregate net purchases are less sensitive than those of conventional funds during the crash. This difference is due to ESG funds’ portfolio tilt toward the less flow-sensitive ESG stocks. There is no evidence of an ESG clientele effect in trading decisions, as both fund types trade individual stocks similarly.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , First View , pp. 1 - 31
Creative Commons
Creative Common License - CCCreative Common License - BY
This is an Open Access article, distributed under the terms of the Creative Commons Attribution licence (http://creativecommons.org/licenses/by/4.0), which permits unrestricted re-use, distribution and reproduction, provided the original article is properly cited.
Copyright
© The Author(s), 2025. Published by Cambridge University Press on behalf of the Michael G. Foster School of Business, University of Washington

Footnotes

We thank Tim Adam, Massimiliano Affinito, Dimitrios Gounopoulos, Alexei Orlov, Raghu Rau, Jonathan Reuter, Luca Zucchelli, Alex Wagner, and participants at seminars at Fundação Getúlio Vargas, University of Bath, University of Calgary, University of Mississippi, University of Oregon, Canadian Sustainable Finance Network, the 2021 IFABS conference at Oxford, the Conference on “The Role of Institutional Investors in International Corporate Governance” at the University of Hamburg, the 2022 Financial Markets and Corporate Governance Conference, and the 2024 Public Investors Conference in Singapore for comments. We thank Morningstar for access to proprietary holdings data, and Emanuela Bassi, Michele Cicconetti, and Sara Silano for invaluable advice. An earlier version of the manuscript circulated with the title of “Mutual Fund Trading, Greenwashing, and ESG Clientele.” The views expressed in this article are those of the authors and do not necessarily represent the views of the institutions with which they are affiliated, Morningstar, or its content providers.

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