Assessing the Impact of Sustainability on Fund Flows: An ExcessInformation Approach and US-Based Case Study

Alik Sokolov, Jonathan Mostovoy, Eduard Losing, Marco Ceccarelli, Qingyang (Emma) Zhang, Yichi Zhang, Kurtis Laurion, Baker Jackson, Luis Seco

2022 | Academic | Funds

With respect to the case study undertaken, the authors find that when controlling for nonlinear drivers and interactions between input factors (past fund flows, past returns and variances, fees and other fund-level variables), sustainability provides little excess information for predicting fund flows.