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The impact of ESG investments on the investment performance of pension funds

Idzes, J.E. (2025) The impact of ESG investments on the investment performance of pension funds.

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Abstract:This study investigates the impact of Environmental, Social and Governance (ESG) integration on the financial performance of the world’s 200 largest pension funds. Using data from 49 UN PRI signatory funds for the timeframe 2018 until 2023, it analyses the relationship between ESG scores and investment risk, return, and risk-adjusted return. Results show that ESG integration is associated with reduced investment risk in public funds. However, no significant risk reducing effect was found for private funds. The interaction between ESG and equity allocation is significant, indicating ESG strategies should be tailored to institutional characteristics (such as public versus private governance) and asset allocation.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:83 economics, 85 business administration, organizational science
Programme:Business Administration MSc (60644)
Link to this item:https://purl.utwente.nl/essays/107647
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