Seminar – The Sustainability Footprint of Institutional Investors

Professor Philipp Krüger, University of Geneva

Little is known about the environmental and social (or sustainability) preferences of 13F institutional investors. In this paper, we propose a novel measure to quantify the portfolio-level sustainability of institutional investors. We show that portfolios of institutions with longer investment horizons exhibit higher sustainability and that risk-adjusted performance is positively related to sustainability, primarily through a reduction of portfolio risk. Using exogenous shocks to investor sustainability induced by natural disasters we provide evidence of a causal impact of sustainability on risk-adjusted performance. An instrumental variable strategy using geographic variation in constituency statutes further supports a causal interpretation of our results.

Speaker bio

Philipp Krüger is Associate Professor of Responsible Finance at the University of Geneva and holds a Junior Chair at the Swiss Finance Institute. After studying Economics and Finance in Germany, the United States, and France, he graduated with a PhD in Economics from the Toulouse School of Economics in 2010. His research interests are in corporate, sustainable, and behavioral finance. His research has been published in top academic journals such as the Journal of Finance or the Journal of Financial Economics. Professor Krüger is a regular speaker at leading finance conferences worldwide. His research has received or been nominated for awards from organisations such as the BSI Gamma Foundation, Chicago Quantitative Alliance, the Financial Management Association, and the European Financial Management Association. In 2015, he was awarded the Moskowitz Prize for his outstanding research in the field of sustainable investing and he received the Best Quantitative Paper Prize at the Principles for Responsible Investment Academic Network Conference in 2017.