Be nice to the air: Severe haze pollution and mutual fund risk

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dc.citation.volume58
dc.contributor.authorSurva R
dc.contributor.authorNguyen H
dc.contributor.authorVisaltanachoti N
dc.date.accessioned2024-07-17T02:44:05Z
dc.date.available2024-07-17T02:44:05Z
dc.date.issued2023-11
dc.description.abstractMotivated by the significant impacts of environmental risks on economic decisions and the increasing roles of mutual funds in financial markets in recent decades, this study examines the impact of ambient pollution on mutual funds’ risk outcomes. Using propriety data manually collected from several datasets, our fund fixed-effect regression estimates show that polluted air increases tracking errors and mutual fund return volatility. The adoption of different identification strategies, including instrumental variable estimations and difference-in-difference analyses based on two natural experiments, suggests the impact of air pollution on mutual funds’ risk is causal. Our findings suggest that air pollution harms fund managers’ cognitive abilities and impairs their investment efficiency, leading to an increase in mutual funds’ tracking errors and return volatility. Overall, our findings provide more insights into the impact of climate change on social behavior by shedding new light on the impact of air quality on asset managers’ behavior.
dc.description.confidentialfalse
dc.edition.editionNovember 2023
dc.identifier.citationRoy S, Nguyen H, Visaltanachoti N. (2023). Be nice to the air: Severe haze pollution and mutual fund risk. Global Finance Journal. 58.
dc.identifier.doi10.1016/j.gfj.2023.100893
dc.identifier.eissn1873-5665
dc.identifier.elements-typejournal-article
dc.identifier.issn1044-0283
dc.identifier.number100893
dc.identifier.piiS1044028323000881
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/70210
dc.languageEnglish
dc.publisherElsevier Inc
dc.publisher.urihttps://www.sciencedirect.com/science/article/pii/S1044028323000881
dc.relation.isPartOfGlobal Finance Journal
dc.rights(c) 2023 The Author/s
dc.rightsCC BY 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectAir pollution
dc.subjectCognitive biases
dc.subjectHealth concerns
dc.subjectNatural experiments
dc.subjectTracking error
dc.subjectReturn volatility
dc.titleBe nice to the air: Severe haze pollution and mutual fund risk
dc.typeJournal article
pubs.elements-id479813
pubs.organisational-groupOther
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