Description
I examine whether a stock’s inclusion in green exchange traded funds and mutualfunds (GMFs) affects liquidity and analyst following. I base these predictions on prior
literature that establishes that a firm’s pro-ESG (Environmental, Social, and Governance)
orientation can spur investors’ interest and mitigate investors’ agency concerns (by
signaling that managers are pro-social). I test these predictions using difference-indifferences
models of monthly turnover, bid-ask spread, and analyst coverage to examine
whether firm liquidity, trading costs, and analyst following improve post-GMF inclusion.
I find support for all three predictions, even though GMF ownership in my sample is
exceedingly modest. Importantly, I identify my treatment effects as incremental to the
liquidity boost firms receive when added to conventional mutual funds and exchange
traded funds (ETFs). Together, these results suggest that GMF inclusion is perceived as
an informative signal of a firm’s green credentials, which leads to more trading volume,
lower trading costs, and more analyst participation.
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Details
Title
- Does Green Fund Ownership Impact Liquidity and Analyst Following?
Contributors
- Holden, Nicole (Author)
- White, Roger (Thesis advisor)
- Brown, Jenny (Committee member)
- Kaplan, Steve (Committee member)
- Arizona State University (Publisher)
Date Created
The date the item was original created (prior to any relationship with the ASU Digital Repositories.)
2023
Subjects
Resource Type
Collections this item is in
Note
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Partial requirement for: Ph.D., Arizona State University, 2023
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Field of study: Accountancy