时 间：2023年12月27日（周三） 14:30-16:00
地 点：中北校区电教楼410会议室
题 目：ESG Disclosure: A Text Analysis of Mutual Fund Shareholder Letters
报告人：Chelsea Yao Associate Professor
主持人：李云鹤 副教授
摘 要：
Having used ESG-BERT model to identify ESG information disclosed in mutual fund’s shareholder letters, we find that investors react strongly to the disclosure. Specifically, funds with ESG-related disclosure in their shareholder letters attract more flows than those matching funds without such disclosure. Furthermore, our analyses show that the flow effects are driven mainly by retail clients rather than institutional clients. We also find that the flow effects are stronger and lasts longer if ESG-related information is disclosed for the first time. Finally, our analyses uncover that funds with poor past six-month flow and poor past six-month return are more likely to disclose ESG-related information.
报告人简介：
Dr Chelsea Yao is an Associate Professor of Finance and Director of the PhD program at Lancaster University Management School. She was a Visiting Research Professor in 2015 and has held the same position from 2019 to present at New York University Stern School of Business. She received PhD in Finance from the University of Melbourne, Australia, and a master’s degree in finance from Durham University, United Kingdom.
Dr Yao has published research on momentum, contrarian, seasonality, mutual funds, and firm’s ESG performance. Her current research interests encompass ESG disclosure, ESG ratings, green investments, machine learning, artificial intelligence, textual analysis, mutual funds, exchange-traded funds, hedge funds, and factor investing. Her work has been accepted to present at top conferences including AFA, EFA and SFS Cavalcade and has been featured in popular practitioners’ websites. She serves as a referee for various journals and as an organizer and reviewer for conference committees.