Table 6 Stock-selection timing test for...

Table 6

Stock-selection timing test for ESG mutual funds during stress periods

Stock-selection opportunity measure: FF6 alpha
	No of funds	Percentage of funds in t-stat critical values (%)
		t ≤ −2.575	t ≤ −1.960	t ≤ −1.645	t ≤ −1.282	t ≥ 1.282	t ≥ 1.645	t ≥ 1.960	t ≥ 2.575
All funds	298	20.47	24.16	32.55	40.94	18.79	14.09	8.39	5.70
UK	195	19.49	22.05	30.77	38.46	16.41	12.31	7.69	5.13
France	58	24.14	29.31	34.48	44.83	22.41	15.52	8.62	5.17
Germany	45	20.00	26.67	37.78	46.67	24.44	20.00	11.11	8.89

Stock-selection opportunity measure: FF6 alpha
	No of funds	Percentage of funds in t-stat critical values (%)
		t ≤ −2.575	t ≤ −1.960	t ≤ −1.645	t ≤ −1.282	t ≥ 1.282	t ≥ 1.645	t ≥ 1.960	t ≥ 2.575
All funds	298	20.47	24.16	32.55	40.94	18.79	14.09	8.39	5.70
UK	195	19.49	22.05	30.77	38.46	16.41	12.31	7.69	5.13
France	58	24.14	29.31	34.48	44.83	22.41	15.52	8.62	5.17
Germany	45	20.00	26.67	37.78	46.67	24.44	20.00	11.11	8.89

Note(s): The table above reports the stock-selection timing coefficients g_i estimated using the following cross-sectional equation: ACT_i,t = c_i + g_iSSO_t+1 + ε_i,t+1, where ACT_i,t denotes the active share in monthly period t and SSO_t+1 represents the stock-selection opportunity in period t+1. Active share is defined according to Cremers and Petajisto (2009). To measure stock-selection opportunity, we calculate the average positive alpha value estimated from daily returns during period t+1 using the model described in Eq. (4). The columns report the percentage of funds whose individual t-statistics exceed or fall below the specified critical values. The t-statistics are corrected for heteroskedasticity and autocorrelation using the Newey and West (1987) method. The period following the outbreak of the COVID-19 spans from January 1, 2020, to December 31, 2024

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