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Cited by 51Sustainable Finance and Green BondsFinancial Markets and Investment StrategiesCorporate Social Responsibility Reporting

Sustainable mutual fund performance and flow in the recent years through the COVID-19 pandemic

Open access
Fang, Fei, Parida, Sitikantha·2022·International Review of Financial Analysis
DOI 10.1016/j.irfa.2022.102387PMC PMC9561383
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Abstract

Sustainable investing has gained significant momentum over the past few years. In this paper, we study the performance and flows of sustainable equity mutual funds in recent years through the COVID-19 pandemic. We find that the high-sustainable funds perform better than the low-sustainable ones by between 1.32% and 6.96% annually. This outperformance significantly increases during the COVID-19 pandemic-induced market crash and the post-crash pandemic. Similarly, we find that high-sustainable funds attract significantly more investments (or suffer less outflow) than the low-sustainable funds by between 5.28% and 5.76% per annum. These flow differences increase considerably during the market crash, consistent with the 'flight-to-quality' effect. We also find that the high-sustainable funds attract significantly more investment during the post-crash pandemic than before the crash. This suggests that investors consider sustainable investing a necessity (not a luxury good), and their taste/attitude towards sustainable investing has changed - now they prioritize 'investing with a conscience.'

Integrity signals

Registry

Crossref · 10.1016/j.irfa.2022.102387

Cites

44 of 44 references verified0 citation errors · 0 not checkable

Statistics

Nothing to recompute.

Claims the paper makes

23 of 38 cited sources checked · 16 supported · 1 flagged · accuracy not yet measured

  • Interpretationcitation

    The performance results appear limited to active sustainable funds, not passive sustainable funds.

    “These results are noteworthy because they seem limited to only active sustainable funds.”
    Quote in the paperSubstantial claim1 of 2 sources checked
    • cites Omura, Roca, and Nakai (2021) source

      The Empirical results section reports superior performance for MSCI SRI indices, while the ESG ETFs failed to outperform their benchmarks. The paper does not identify active sustainable funds as the sole source of its positive results; its positive findings concern indices, not active funds. No page number is available in our copy. (LLM, conf=0.85)

      Checked by a reasoning model — may be wrong.

      Experimental — accuracy not yet measured
    • cites Pavlova and de Boyrie (2022) source
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.
  • Interpretationcitation

    Five-globe funds continue to attract more investment beyond 11 months after Morningstar announced its globe ratings.

    “This shows that five-globe funds keep attracting more investments beyond 11 months of Morningstar's announcement of globe ratings (Hartzmark & Sussman, 2019).”
    Quote in the paperNot a substantial claim1 of 1 sources checked
    • cites Hartzmark & Sussman, 2019 source

      The Abstract reports substantial inflows to five-globe funds over the 11 months after the ratings were published, and §3.4 reports higher inflows during that post-publication period. The paper does not establish that the funds continued to attract more investment beyond 11 months; its reported analysis ends at 11 months. (LLM, conf=0.89)

      Experimental — accuracy not yet measured
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.
  • Interpretationown data

    The flow results support the view that sustainable investing is a necessity demanded in both good and bad times, not a luxury good.

    “The finding that top globe funds do not lose more funds than the one-globe funds during the market crash or the pandemic - a major health and economic crisis- supports the claim that sustainable investing is a necessity that is in demand in both good and bad times, rather than a luxury good that people indulge in only during good times (see also Pástor & Vorsatz, 2020).”
    Quote in the paperSubstantial claim1 of 1 sources checked
    • cites Pástor & Vorsatz, 2020 source
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.
  • Study design and conductown data

    The results are robust to defining the crisis period as February-April 2020.

    “As a robustness check, we define the Crisis period as February–April 2020 (see Pástor & Vorsatz, 2020) and find similar results.”
    Quote in the paperNot a substantial claim1 of 1 sources checked
    • cites Pástor & Vorsatz, 2020 source
  • Interpretationcitation

    The finding that higher-globe funds experience less outflow during the crash is consistent with the flight-to-quality phenomenon reported in the literature.

    “This is consistent with the ‘flight to quality’ phenomena reported in the literature (Coudert & Gex, 2008; Parida & Wang, 2018 and Pástor & Vorsatz, 2020).”
    Quote in the paperSubstantial claim2 of 3 sources checked
    • cites Coudert & Gex, 2008 source
    • cites Parida & Wang, 2018 source
    • cites Pástor & Vorsatz, 2020 source
  • Classified as probably not a substantial claim. 13
  • May combine two claims. 42
  • The quote only partly states this claim. 2

  • Probably not a substantial claim: may not pass S3 (load-bearing).

    Premisecitation

    Albuquerque et al. (2020) find that U.S. stocks with higher environmental and social ratings earned significantly higher returns during the first quarter of 2020 when the market crashed.

    “Albuquerque, Koskinen, Yang, and Zhang (2020) find that U.S. stocks with higher environmental and social ratings earn significantly higher returns during the first quarter of 2020 when the market crashes.”
    Quote in the paperNot a substantial claim1 of 1 sources checked
    • cites Albuquerque, Koskinen, Yang, and Zhang (2020) source

      The indexed Abstract states that stocks with higher environmental and social ratings had significantly higher returns during the first quarter of 2020, which it describes as a market-crash period. The available passages do not identify the stocks as U.S. stocks, so that population qualifier is not verified. (LLM, conf=0.82)

      Experimental — accuracy not yet measured

  • May combine two claims.

    Premisecitation

    Institutional investors increasingly have ESG mandates, engage in ESG issues, and tend to commit to ESG publicly.

    “Increasingly Institutional investors have ‘ESG Mandates.’ They engage in ESG issues (Barko, Cremers, & Renneboog, 2022; Dyck, Lins, Roth, & Wagner, 2019; Hoepner, Oikonomou, Sautner, Starks Laura, & Zhou, 2020; Ilhan, Krueger, Sautner, & Starks, 2020; Krüger, Sautner, & Starks, 2020) and tend to commit to ESG publicly (Gibson, Glossner, Krüger, Matos, & Tom, 2020).”
    Quote in the paperSubstantial claim2 of 3 sources checked
    • cites Barko, Cremers, & Renneboog, 2022 source
    • cites Dyck, Lins, Roth, & Wagner, 2019 source
    • cites Gibson, Glossner, Krüger, Matos, & Tom, 2020

      Couldn’t be matched to a paper in Crossref, so it can’t be checked.

  • May combine two claims.

    Interpretationown data

    Morningstar sustainability ratings predict long-term performance, which Hartzmark and Sussman's shorter sample did not capture.

    “This suggests that the Morningstar sustainability ratings predict long-term performance, which is not captured by Hartzmark and Sussman's (2019) shorter data sample.”
    Quote in the paperSubstantial claim1 of 1 sources checked
    • cites Hartzmark and Sussman's (2019) source
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.

  • Classified as probably not a substantial claim. May combine two claims.

    Premisecitation

    Hartzmark and Sussman's experiment found that participants viewed sustainability as positively predicting future performance, but their sample up to 11 months after the ratings did not support this.

    “They run an experiment and find that the participants view sustainability as positively predicting future performance; however, they do not find any supporting evidence in their sample period covering up to 11 months from the publication of the sustainability ratings.”
    Quote in the paperSubstantial claim1 of 1 sources checked
    • cites Hartzmark and Sussman (2019) source

  • Probably not a substantial claim: may not pass S3 (load-bearing).

    Premisecitation

    Ding et al. (2021) find that the pandemic-induced drop in stock returns is milder among firms with more corporate social responsibility activities.

    “Ding, Levine, Lin, and Xie (2021) find that the pandemic-induced drop in stock returns is milder among firms with more corporate social responsibility activities.”
    Quote in the paperNot a substantial claim1 of 1 sources checked
    • cites Ding, Levine, Lin, and Xie (2021) source

  • Classified as probably not a substantial claim. May combine two claims.

    Premisecitation

    Hartzmark and Sussman (2019) show that investors value sustainability: five-globe funds received $24 billion of investment and one-globe funds lost $12 billion in the 11 months after the rating announcement.

    “Hartzmark and Sussman (2019) show that investors value sustainability: five-globe funds receive 24 billion investments, whereas one-globe funds lose 12 billion during the 11 months after the sustainability rating announcement.”
    Quote in the paperSubstantial claim1 of 1 sources checked
    • cites Hartzmark and Sussman (2019) source

      Section 3.5, “Economic Impact,” estimates that over the 11 months after publication, five-globe funds received $24–32 billion in inflows and one-globe funds lost $12–15 billion because of their ratings. The claim captures the direction, period, and lower ends of those estimates, but presents the lower bounds as exact amounts. (LLM, conf=0.87)

      Experimental — accuracy not yet measured

  • Probably not a substantial claim: may not pass S3 (load-bearing).

    Premisecitation

    Pástor and Vorsatz (2020) find that active equity funds with high sustainability ratings performed well during the COVID-19 pandemic-induced market crisis.

    “In another recent paper, Pástor and Vorsatz (2020) find that active equity funds with high sustainability ratings perform well during the COVID-19 pandemic-induced market crisis.”
    Quote in the paperNot a substantial claim1 of 1 sources checked
    • cites Pástor and Vorsatz (2020) source

  • Probably not a substantial claim: may not pass S3 (load-bearing).

    Premisecitation

    Kempf and Osthoff (2007) show that stocks with high socially responsible ratings perform better.

    “Kempf and Osthoff (2007) show that stocks with high socially responsible ratings perform better.”
    Quote in the paperNot a substantial claim1 of 1 sources checked
    • cites Kempf and Osthoff (2007) source

  • Probably not a substantial claim: may not pass S3 (load-bearing).

    Premisecitation

    Bae et al. (2021) find that the relation between CSR and stock returns during the pandemic-related crisis is positive when CSR is congruent with a firm's institutional environment.

    “Bae, El Ghoul, Gong, and Guedhami (2021) find that the relation between CSR and stock returns during the pandemic-related crisis is positive when CSR is congruent with a firm's institutional environment.”
    Quote in the paperNot a substantial claim1 of 1 sources checked
    • cites Bae, El Ghoul, Gong, and Guedhami (2021) source

  • Classified as probably not a substantial claim. May combine two claims.

    Study design and conductcitation

    The regressions cluster standard errors by Morningstar Institutional Category and include style and time fixed effects.

    “In all our regressions, we use the Morningstar Institutional Category, which is its finest classification system, to cluster the standard errors, and the Morningstar Global Category, which is used by Morningstar to group the funds for sustainability ranking, for style fixed effect (see Pástor et al., 2015 and Pástor & Vorsatz, 2020). We also include time (year and month) fixed effect in all the re”
    Quote in the paperSubstantial claim1 of 2 sources checked
    • cites Pástor et al., 2015 source
    • cites Pástor & Vorsatz, 2020 source

  • Probably not a substantial claim: may not pass S3 (load-bearing).

    Premisecitation

    Lins et al. (2017) show that firms with high social capital had 4%-7% higher stock returns than firms with low social capital during the 2008-2009 financial crisis.

    “Lins, Servaes, and Tamayo (2017) show that firms with high social capital as measured by CSR intensity have 4%–7% higher stock returns than firms with low social capital during the 2008–2009 financial crisis.”
    Quote in the paperNot a substantial claim1 of 1 sources checked
    • cites Lins, Servaes, and Tamayo (2017) source

  • May combine two claims.

    Premisecitation

    Parida and Wang (2018) find that Top CSR funds attract about 8.7% more investment during the financial crisis than in the pre-crisis period, while bottom CSR funds receive about 9.8% less.

    “Parida and Wang (2018) find that Top CSR funds attract about 8.7% more investments during the financial crisis than in the pre-crisis period, whereas bottom CSR funds receive about 9.8% less investment.”
    Quote in the paperSubstantial claim1 of 1 sources checked
    • cites Parida and Wang (2018) source

  • May combine two claims.

    Premisecitation

    A large portion of 401(k) investment goes to institutional share classes, and these investors are less sensitive to market changes.

    “In addition, a large chunk of 401(k) investment goes to institutional share classes, and these investors are less sensitive to market changes (see Blanchett, Finke, & Reuter, 2020).”
    Quote in the paperSubstantial claim1 of 1 sources checked
    • cites Blanchett, Finke, & Reuter, 2020 source

      The Introduction (p. 4) says retirement-plan participants trade infrequently, but does not identify institutional share classes or assess how their investors respond to market changes. A search for institutional share classes found no passage supporting either part of the attributed claim. (LLM, conf=0.72)

      Experimental — accuracy not yet measured

  • May combine two claims.

    Findingown data

    Five-globe funds also outperform one-globe funds in normal, non-crisis periods, though by a smaller margin than during the pandemic.

    “However, unlike the earlier studies, we find that five-globe funds perform better during normal/non-crisis times, though the outperformance is significantly less than during the pandemic.”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.

  • The quote only partly states this claim.

    Findingown data

    Over the full sample, five-globe equity mutual funds outperform one-globe funds by 1.32% to 6.96% per year.

    “We find that the high-sustainable funds perform better than the low-sustainable ones by between 1.32% and 6.96% annually.”
    • Also stated in: § Introduction · plain
      “We use a longer sample period of recent data (from September 2018 to June 2021) and find that the five-globe domestic equity funds perform better than one-sustainable ones by between 1.32% and 6.96% annually.4”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.

  • May combine two claims.

    Findingown data

    High-sustainable retail funds attract more investment than low-sustainable retail funds, but the difference is not statistically significant.

    “The high-sustainable retail funds attract more investments (or lose less investment) than the low-sustainable retail funds too. However, it is not statistically significant.”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.

  • May combine two claims.

    Findingown data

    There is no statistically significant difference between the flows of five-globe and one-globe retail funds, although the difference is economically significant.

    “We do not find any statistically significant difference between the flows of five-globe and one-globe retail funds, even though the difference is economically significant.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Findingreasoning

    During the crash, all funds experience outflow on average, but higher-globe funds experience less outflow than one-globe funds.

    “While all the funds experience outflow on average during the crash, higher-globe funds experienced less outflow than the one-globe funds.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Findingown data

    Five-globe funds outperform one-globe funds in general, with the highest outperformance during February and March 2021 when the market crashed due to the onset of COVID-19.

    “We find that five-globe funds outperform one-globe funds in general, and the outperformance is the highest during February and March of 2021 when the market crashes due to the onset of the COVID-19 pandemic.”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.

  • May combine two claims.

    Findingown data

    One-globe funds experience outflows in 24 of 34 months, with rapid outflows during the December 2018 market crash and the early 2020 COVID-19 crash.

    “One-globe funds experience outflows for 24 out of 34 months, and the pace of outflows is fairly rapid during the market crash in December 2018 and the COVID-19 pandemic-induced crash in early 2020.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Findingown data

    Five-globe funds experience inflows except during the market crash, when funds with any globe rating experience outflow.

    “and five-globe funds experiencing inflows except during the market crash when funds with any globe rating experience outflow.”
    Quote in the paperNot a substantial claim

  • May combine two claims.

    Findingown data

    During the post-crash pandemic through June 2021, five-globe funds receive 6.72% investment per year, while one-globe funds suffer 0.84% outflow per year.

    “During the post-crash pandemic through June 2021, five-globe funds receive 6.72% investment per annum, while one-globe funds suffer from 0.84% outflow per annum.”
    Quote in the paperNot a substantial claim

  • May combine two claims.

    Findingown data

    During the market crash, five-globe funds suffer 3.48% outflow per year, while one-globe funds suffer 15.48% outflow per year.

    “five-globe funds suffer from 3.48% outflow per annum during the market crash, while one-globe funds suffer from 15.48% outflow per annum.”
    Quote in the paperNot a substantial claim

  • May combine two claims.

    Findingown data

    The mean flow difference between five-globe and one-globe funds is 0.71% per month, or 8.52% per year, with a t-statistic of 5.80.

    “The mean difference in flow between five-globe and one-globe funds is 0.71% per month or 8.52% per annum with a t-statistics of 5.80.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Findingown data

    Sustainability positively affects fund performance for both institutional and retail funds, with one exception.

    “We find that sustainability positively affects the fund performance for both the institutional and the retail funds (except for one instance).”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Morningstar globe ratings validly measure a fund's sustainability.

  • May combine two claims.

    Findingown data

    Using other thresholds, such as 3/4, to classify funds as institutional or retail yields similar results, with institutional funds primarily driving the results.

    “we use other thresholds, such as 3/4, in determining whether a fund is an institutional or retail fund and run the same regressions. Our results are similar - the institutional funds are primarily driving our results.”
    Quote in the paperNot a substantial claim

  • May combine two claims.

    Findingown data

    With the highest-TNA share class globe rating, the outperformance of five-globe funds over one-globe funds increases during the COVID-19 crash to 6.36% to 21.36% per year, from -0.24% to 5.16% before the crash, and continues at 3.96% to 7.20% per year during the post-crash pandemic.

    “The outperformance significantly increases during the COVID-19 pandemic-induced crash to between 6.36% and 21.36% per annum (from between −0.24% and 5.16% before the crash) and continues at between 3.96% and 7.20% per annum during the post-crash pandemic.”
    Quote in the paperNot a substantial claim

  • May combine two claims.

    Findingown data

    With net cash position and volatility of fund returns as additional control variables, in the entire sample, five-globe funds experience 5.28% to 6.60% more inflows or less outflow per year than one-globe funds, and the differences increase significantly during the market crash and the post-crash pandemic.

    “in the entire sample, five-globe funds experience 5.28% - 6.60% more inflows or less outflow per annum than one-globe funds, and the differences increase significantly during the market crash and the post-crash pandemic.”
    Quote in the paperNot a substantial claim

  • May combine two claims.

    Findingreasoning

    One-globe funds lose significantly more money during the market crash than higher-globe funds, consistent with the flight-to-quality effect.

    “Second, the one-globe funds lose significantly more money during the market crash than the higher-globe funds, consistent with the flight to quality effect”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Findingown data

    With the highest-TNA share class globe rating, during the full sample period, five-globe funds experience 5.76% to 6.48% more inflows per year than one-globe funds, and the differences increase significantly during the market crash and the post-crash pandemic.

    “During the full sample period, five-globe funds experience 5.76% - 6.48% more inflows per annum than one-globe funds, and the differences increase significantly during the market crash and the post-crash pandemic.”
    Quote in the paperNot a substantial claim

  • May combine two claims. The quote only partly states this claim.

    Findingown data

    In Panel B of Table 8, the coefficient on the triple interaction term is positive but not statistically significant.

    “The coefficient on the triple interaction term is positive but not statistically significant.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Findingown data

    With net cash position as an additional control variable, the outperformance of five-globe funds over one-globe funds increases during the COVID-19 crash to 8.52% to 23.28% per year, from -0.36% to 5.16% before the crash, and continues at 3.84% to 7.68% per year during the post-crash pandemic.

    “The outperformance significantly increases during the COVID-19 pandemic-induced crash to between 8.52% and 23.28% per annum (from between −0.36% and 5.16% before the crash) and continues at between 3.84% and 7.68% per annum during the post-crash pandemic.”
    Quote in the paperNot a substantial claim

  • May combine two claims.

    Findingown data

    In Panel A of Table 8, the coefficients on the double interaction term are positive and significant at the 1% level.

    “In Panel A of Table 8, the coefficients on the double interaction term are positive and significant at the 1% level.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Findingown data

    High-sustainable domestic equity funds attract more investments, or lose less, than low-sustainable funds, and this effect is amplified during the crash and the post-crash pandemic.

    “In addition, high-sustainable domestic equity funds attract more (or lose less) investments than low-sustainable funds, and this effect is amplified during the crash and the post-crash pandemic.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Findingown data

    In Panel B of Table 7, the coefficient on the triple interaction term is positive but not statistically significant.

    “The coefficient on the triple interaction term is positive but not statistically significant.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Interpretationown data

    It is possible that investors treat sustainable investing as a necessity and also direct more investment to it during the pandemic.

    “Hence, it is possible that investors are not only treating sustainable investing as a necessity but also prioritizing more investments into it during the pandemic.”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.

  • Probably not a substantial claim: may not pass S4 (based). May combine two claims.

    Premisereasoning

    Institutional investors are less financially constrained and less likely to act rashly on negative market news than retail investors.

    “These investors are less financially constrained and hence, are less likely to act on negative market news rashly than retail investors.”
    Quote in the paperNot a substantial claim

  • May combine two claims.

    Interpretationreasoning

    It takes time for mispricing to be corrected, producing abnormal profit in the long run.

    “It takes time for the mispricing to be corrected, resulting in abnormal profit in the long run.”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.

  • Probably not a substantial claim: may not pass S3 (load-bearing). May combine two claims.

    Premisecitation

    Dong et al. (2019) find that U.S. domestic mutual funds overweighting low-CSR stocks outperform funds underweighting low-CSR stocks, and the outperformance reverses during the 2008-2009 financial crisis.

    “Dong et al. (2019) find that U.S. domestic mutual funds overweighting low-CSR stocks outperform funds underweighting low-CSR stocks, and the outperformance reverses during the 2008–2009 financial crisis.”
    Quote in the paperNot a substantial claim0 of 1 sources checked
    • cites Dong et al. (2019) source

  • Probably not a substantial claim: may not pass S3 (load-bearing). May combine two claims.

    Premisecitation

    Nofsinger and Varma (2014) find that socially responsible mutual funds underperform during non-crisis periods and outperform during market crises compared to matched conventional mutual funds.

    “Nofsinger and Varma (2014) find that socially responsible mutual funds underperform during non-crisis periods and outperform during market crises compared to matched conventional mutual funds.”
    Quote in the paperNot a substantial claim0 of 1 sources checked
    • cites Nofsinger and Varma (2014) source

  • May combine two claims.

    Premisecitation

    Institutional share classes have higher minimum investment requirements and lower fees, attract more sophisticated investors who monitor fund managers better, and this results in superior performance.

    “These share classes have higher minimum investment requirements and lower fees. They attract more sophisticated investors who monitor the fund managers better. This results in superior performance (Evans & Fahlenbrach, 2012).”
    Quote in the paperSubstantial claim0 of 1 sources checked
    • cites Evans & Fahlenbrach, 2012 source

  • Probably not a substantial claim: may not pass S3 (load-bearing).

    Premisecitation

    Berg et al. (2021) find that stocks with higher ESG performance have higher expected returns.

    “Berg, Kölbel, Pavlova, and Rigobon (2021) find that stocks with higher ESG performance have higher expected returns.”
    Quote in the paperNot a substantial claim0 of 1 sources checked
    • cites Berg, Kölbel, Pavlova, and Rigobon (2021)

      Couldn’t be matched to a paper in Crossref, so it can’t be checked.

  • May combine two claims.

    Interpretationreasoning

    The market is somewhat inefficient and does not reflect the prices of sustainable stocks held by high-sustainable funds.

    “It further indicates that the market is somewhat inefficient and does not reflect the prices of the sustainable stocks held by high-sustainable funds.”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Morningstar's globe ratings accurately measure the sustainability of mutual funds.

  • May combine two claims.

    Premisenone given

    Earlier studies were limited by having few sustainable funds and no comprehensive metric to classify them.

    “These earlier studies suffer from the fact that there were not many sustainable funds to draw an inference from. Also, there was no comprehensive metric to classify sustainable funds.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Premisereasoning

    Institutional investors follow their ESG mandates and are more engaged on ESG issues.

    “Institutional investors are following their ‘ESG mandates’ and are more engaging on ESG issues.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Interpretationreasoning

    Investors treat sustainable investing as a necessity rather than a luxury good, as they do not flee from it during difficult times.

    “This supports the assertion that investors treat sustainable investing as a necessity rather than a luxury good - they do not flee from it during difficult times.”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Fund flows reflect investor preferences and attitudes rather than other factors.

  • May combine two claims.

    Interpretationown data

    The flight-to-quality effect is primarily significant during February and March 2020, but not in April 2020 when the market begins to recover.

    “This suggests that the flight-to-quality effect is primarily significant during February and March 2020, but not in April 2020, when the market starts to recover.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Interpretationown data

    The effect is significant only when funds with 2 to 5 globes are grouped together, indicating that it is driven by investors withdrawing from one-globe funds rather than investing in higher-globe funds.

    “This effect is only significant when we group funds with 2 to 5 globes ratings together, indicating that this effect is driven by investors' withdrawal from the one-globe funds than investment in any higher-globe funds.”
    Quote in the paperSubstantial claim

  • May combine two claims.

    Interpretationreasoning

    During a crisis, investors become more quality conscious, view high-globe funds as high quality and one-globe funds as low quality, and therefore withdraw more from one-globe funds than from higher-globe funds.

    “Investors become more quality conscious during a crisis and consider high-globe funds as high-quality funds, one-globe funds as low-quality funds, and therefore, withdraw more from the one-globe funds than from higher-globe funds.”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Fund flows reflect investor preferences and attitudes rather than other factors.

  • May combine two claims.

    Interpretationreasoning

    Investors associate one-globe funds with low quality and withdraw more money from them than from five-globe funds during a crisis.

    “investors associate one-globe funds with low-quality funds and withdraw more money from them than five-globe funds during a crisis.”
    Quote in the paperSubstantial claim
    • Rests on an assumption: Fund flows reflect investor preferences and attitudes rather than other factors.
50 of 50

  • The paper relies on this without support.

    Morningstar's globe ratings accurately measure the sustainability of mutual funds.

    “The fund sustainable rating is a weighted average of the sustainability score of a fund's underlying holdings.”
    “The publication of these globe ratings was designed to be “a reliable, objective way to evaluate how investments are meeting environmental, social, and governance challenges.”

  • The paper relies on this without support.

    Morningstar globe ratings validly measure a fund's sustainability.

    “We discuss the impact of sustainability ratings on fund flows in this section.”

  • The paper relies on this without support.

    Fund flows reflect investor preferences and attitudes rather than other factors.

    “This supports the claim that investors' taste/attitude towards sustainable investing may have changed - now, they prioritize ‘investing with a conscience.’”
3 of 3

Self-check

Percentages, sums and reported differences re-computed from the paper’s own numbers.

Each contradiction between two passages listed here was confirmed by an independent check.

  • Market crash is assigned to two different years

    Minor

    The performance section places the pandemic-induced crash in February and March 2021, but the paper defines the crash period as February and March 2020.

  • Cited comparison uses conflicting crisis dates

    Minor

    The performance discussion dates Pástor and Vorsatz's comparison period to 2021, while the robustness section dates that same study's crisis period to 2020.

2 of 2

Cites

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4 of the 48 references couldn’t be matched to a known paper.

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Related

Authors
Fang, F., & Parida, S.
Affiliations
Clark University (US)
Corresponding author
Fang, Fei
ORCID
Venue
International Review of Financial Analysis
Publisher
Elsevier BV
Published
2022-11
Volume
84
Pages
102387
ISSN
1057-5219 (ISSN-L)
DOI
10.1016/j.irfa.2022.102387
PMC
PMC9561383
OpenAlex
W4306173945
Cited by
51
References
48
Citations by year
2026: 15 · 2025: 15 · 2024: 12 · 2023: 8 · 2021: 1
FWCI
6.41
Type
journal article
Language
en
Open access
Licence
Locations
  • International Review of Financial Analysis (publishedVersion)
  • PubMed Central (publishedVersion)
  • PubMed (publishedVersion)
  • Clark Digital Commons (Clark University) (submittedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Sustainable Finance and Green Bonds
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Business, Management and Accounting › Strategy and Management › Corporate Social Responsibility Reporting
Keywords
sustainable investment, mutual fund performance, fund inflows and outflows, COVID-19 pandemic, market crashes, flight to quality, ESG

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Claims read under definition version 3 (extract-v3) on 2026-09-28.

Classified by jev-1.13-20260917 (gold-guideline-v0.2) on 2026-09-28.

Cited sources are checked by gpt-6-sol.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

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