Table A1 Stock-selection timing test for...

Table A1

Stock-selection timing test for ESG mutual funds

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	309	8.41	13.92	21.36	27.51	35.92	25.89	20.39	12.62
UK	198	5.56	10.61	19.19	26.26	42.42	30.30	24.75	15.15
France	62	14.52	19.35	24.19	27.42	22.58	17.74	12.90	9.68
Germany	49	12.24	20.41	26.53	32.65	26.53	18.37	12.24	6.12

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	309	8.41	13.92	21.36	27.51	35.92	25.89	20.39	12.62
UK	198	5.56	10.61	19.19	26.26	42.42	30.30	24.75	15.15
France	62	14.52	19.35	24.19	27.42	22.58	17.74	12.90	9.68
Germany	49	12.24	20.41	26.53	32.65	26.53	18.37	12.24	6.12

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 fund portfolio turnover in monthly period t and SSO_t+1 represents the stock-selection opportunity in period t+1. Portfolio turnover is defined according to Yan and Zhang (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 sample period spans from January 1, 2012, to December 31, 2024

[ViewLarge]

Sharing Unavailable