Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
Please note that all times are shown in the time zone of the conference. The current conference time is: 14th May 2024, 04:05:15am EDT
Session Chair: Dasol Kim, Office of Financial Research
Location:SEC Headquarters in Washington, DC
Session Topics:
Financial Intermediation
Presentations
Catering through transparency: Voluntary ESG disclosure by asset managers and fund flows
Marco Ceccarelli1, Simon Glossner2, Mikael Homanen3,4
1VU Amsterdam, Netherlands; 2Board of Governors of the Federal Reserve System; 3City University of London; 4PRI
Discussant: Jess Cornaggia (Pennsylvania State University)
Voluntary Environmental, Social, and Governance (ESG) disclosure by institutional investors enables clients to allocate responsible capital to institutions with better ESG practices. Institutional investors disclose their ESG practices as part of their commitment to the Principles for Responsible Investment (PRI), the world’s largest responsible investment network. After joining the PRI, investors annually file an ESG report, which is assessed and scored by the PRI. Clients allocate more assets toward institutions that receive higher scores on their disclosure, especially when the disclosure is corroborated by third-party ESG fund ratings. Importantly, the disclosure does not appear to be cheap talk since it correlates with more sustainable equity portfolios and more engagements on ESG issues. However, both higher flows and better ESG practices occur only in countries where responsible institutional asset owners have a stronger presence.
Intermediary Balance Sheet Constraints, Bond Mutual Funds’ Strategies, and Bond Returns
Mariassunta Giannetti1, Chotibhak Jotikasthira2, Andreas Rapp3, Martin Waibel1
1Stockholm School of Economics, Sweden; 2Southern Methodist University; 3Federal Reserve Board of Governors
Discussant: Russ Wermers (University of Maryland)
We show that after the introduction of leverage ratio constraints on bank-affiliated dealers, bond mutual funds have engaged in more liquidity provision in investment- grade corporate bonds and that the performance of funds with liquidity-supplying strategies has benefited. Not only have regulations transferred profits associated with liquidity provision in the corporate bond market to mutual funds, but the liquidity and returns of investment-grade corporate bonds have become more exposed to redemp- tions from the bond mutual fund industry, suggesting that the regulations may have made investment-grade corporate bonds more volatile. Accordingly, we observe that investment-grade corporate bonds more exposed to leverage ratio constraints experi- enced a more severe deterioration in liquidity and returns at the onset of the COVID-19 pandemic.
