学术预告 | 国家金融学系列第16期暨国际金融学院第201期学术系列

本文使用自然语言处理技术，通过分析基金经理在其基金报告中的用词来构建了中国基金经理的心理短视水平指数，进而发现了基金经理短视水平与其管理的基金的ESG水平之间存在着负相关。在此基础上，我们使用倾向得分匹配法进一步发现，与持有相同投资策略、具有相同基金特点并同时重仓了同一只股票的基金经理相比，短视的基金经理在面对其持有的重仓股的ESG新闻事件冲击时，对相应股票的调仓量较少。我们的发现表明，鉴于 ESG 是一项通过关注企业环境、社会、治理绩效而促进企业价值增长的长期策略，基金经理的短视心理会使其低估ESG对公司价值创造的增益作用。

By using natural language processing techniques in the future outlook section of fund manager’s periodic reports to construct measures of fund manager myopia, we provide evidence of a significant negative association between fund manager myopia and the ESG level of the managed fund, controlling for fund investment strategy and other fund characteristics. We further reveal in a propensity score matching analysis that myopic fund managers react less to ESG-related events in their top stock holdings. Further tests suggest that endogenous factors are unlikely to drive our conclusions and inferences. Taken together, our evidence implies that myopic fund managers are less sensitive to the impact of ESG on firm valuation, given that ESG is a framework for delivering long-term value through effective engagement with all stakeholders.