Do ESG Mutual Funds Outperform Conventional Peers in India?
インドのESG投資信託は従来の同業他社より優れているか？ (AI 翻訳)
Dr. Shrinivas R Patil
🤖 gxceed AI 要約
日本語
インドのESG投資信託と従来の大型株ファンド10組ずつのマッチドペア分析。シャープレシオ、ファーマフレンチ3ファクターモデル、ペアt検定を用いて5つの市場体制で検証。ESGファンドは有意に高いシャープレシオ（0.968対0.574）と年率2.18%のアルファを達成。SEBIのBRSR報告義務導入後にESGデータ品質が向上しアルファが改善した。
English
This study evaluates ESG mutual fund performance in India using a matched-pair design of ten ESG and ten conventional large-cap funds from 2019 to 2024. Using Sharpe ratios, Fama-French three-factor model, and paired t-tests, it finds ESG funds deliver a significantly higher Sharpe ratio (0.968 vs. 0.574) and an annual alpha of +2.18%. Sub-period analysis shows defensive alpha across four of five market regimes, and evidence that SEBI's mandatory BRSR reporting improved ESG fund performance through enhanced data quality.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
インドのESG投資信託パフォーマンスに関する実証研究。SEBIのBRSR枠組みの効果を検証しており、日本のSSBJ導入後の情報品質向上の可能性を示唆する点で日本企業や投資家にも示唆がある。
In the global GX context
This empirical study of ESG fund performance in India provides evidence that mandatory sustainability reporting (BRSR) can enhance ESG data quality and fund alpha. It informs global debates on the impact of disclosure regulation on sustainable investment outcomes, relevant for TCFD/ISSB implementation worldwide.
👥 読者別の含意
🔬研究者:Researchers studying ESG fund performance and the link between disclosure regulation and investment outcomes should note the robust evidence of outperformance and the information quality channel.
🏢実務担当者:Corporate sustainability teams can use the findings to advocate for high-quality ESG disclosure, as the study suggests better reporting improves fund performance and investor returns.
🏛政策担当者:Regulators like SEBI and global equivalents can see empirical support for mandatory sustainability reporting frameworks like BRSR as a tool to improve market efficiency in sustainable investing.
📄 Abstract（原文）
This study provides the first comprehensive multi-metric evaluation of ESG mutual fund performance in India using a matched-pair design across ten ESG and ten conventional large-cap equity funds over the five fiscal years April 2019 to March 2024. Employing three analytical frameworksthe Sharpe Ratio family of classical risk-adjusted metrics, the Fama-French Three-Factor Model, and paired t-teststhe study tests eight hypotheses across five structurally distinct market regimes. ESG funds delivered a significantly higher mean Sharpe Ratio (0.968 vs. 0.574; t = 9.847, p < 0.001), a Fama-French alpha of +2.18% per annum (t = 4.84, p < 0.001) net of all systematic factor exposures, and a maximum drawdown advantage of 5.6 percentage points during the COVID-19 bear market. All eight null hypotheses are rejected at the 5% significance level or better. Sub-period analysis confirms the defensive alpha hypothesis across four of five market regimes, with the commodity supercycle of FY2021-22 representing the sole, structurally explicable exception. Post-BRSR sub-period evidence supports the Information Quality Channel: SEBI's mandatory Business Responsibility and Sustainability Reporting framework appears to have improved ESG fund alpha by enhancing ESG data quality. The findings have direct implications for SEBI's disclosure framework, fund manager ESG integration standards, and retail investor allocation decisions.
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.2139/ssrn.6812119first seen 2026-07-09 04:50:56
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