Robustness tests
Hedge funds are sorted every month into two portfolios based on PRI endorsement (Columns 1 and 4) or into 2 × 3 portfolios based on PRI endorsement and hedge fund firm ESG scores (Columns 2, 3, 5, and 6). PRI denotes the United Nations Principles for Responsible Investment. Firm ESG scores are the value-weighted average of the Refinitiv ESG scores of the stocks held by hedge fund firms. Low ESG denotes firms with bottom-tercile ESG scores. High ESG denotes firms with top-tercile ESG scores. Performance is estimated relative to the Fung and Hsieh (2004) model. FH denotes the Fung and Hsieh (2004) model. The t-statistics, derived from White (1980) standard errors, are in parentheses. The sample period is from May 2006 to April 2019. * and ** denote significance at the 5% and 1% levels, respectively.
| . | Alpha (percent/year) . | . | Alpha (percent/year) . | ||||
|---|---|---|---|---|---|---|---|
| . | All funds . | Low ESG . | High ESG . | . | All funds . | Low ESG . | High ESG . |
. | |||||||
| Hedge fund portfolio . | (1) . | (2) . | (3) . | Hedge fund portfolio . | (4) . | (5) . | (6) . |
. | |||||||
| Panel A: Adjusted for backfill bias . | Panel H: FH + Hsu, Li, and Tsou (2021) toxic emissions factor . | ||||||
| PRI signatories | −1.55 | −5.69* | −0.17 | PRI signatories | −1.26 | −5.62* | 0.32 |
| (−1.22) | (−2.22) | (−0.16) | (−0.98) | (−2.29) | (0.29) | ||
| Nonsignatories | −0.15 | 1.80* | −1.13 | Nonsignatories | 1.20 | 2.10* | −0.23 |
| (−0.15) | (2.26) | (−1.36) | (1.24) | (2.61) | (−0.31) | ||
| Spread (PRI minus non-PRI) | −1.41* | −7.49** | 0.96 | Spread (PRI minus non-PRI) | −2.45** | −7.72** | 0.55 |
| (−2.13) | (−2.95) | (1.29) | (−3.94) | (−3.18) | (0.76) | ||
| . | Alpha (percent/year) . | . | Alpha (percent/year) . | ||||
|---|---|---|---|---|---|---|---|
| . | All funds . | Low ESG . | High ESG . | . | All funds . | Low ESG . | High ESG . |
. | |||||||
| Hedge fund portfolio . | (1) . | (2) . | (3) . | Hedge fund portfolio . | (4) . | (5) . | (6) . |
. | |||||||
| Panel A: Adjusted for backfill bias . | Panel H: FH + Hsu, Li, and Tsou (2021) toxic emissions factor . | ||||||
| PRI signatories | −1.55 | −5.69* | −0.17 | PRI signatories | −1.26 | −5.62* | 0.32 |
| (−1.22) | (−2.22) | (−0.16) | (−0.98) | (−2.29) | (0.29) | ||
| Nonsignatories | −0.15 | 1.80* | −1.13 | Nonsignatories | 1.20 | 2.10* | −0.23 |
| (−0.15) | (2.26) | (−1.36) | (1.24) | (2.61) | (−0.31) | ||
| Spread (PRI minus non-PRI) | −1.41* | −7.49** | 0.96 | Spread (PRI minus non-PRI) | −2.45** | −7.72** | 0.55 |
| (−2.13) | (−2.95) | (1.29) | (−3.94) | (−3.18) | (0.76) | ||
| Panel B: Adjusted for incubation bias . | Panel I: Adjusted for dynamic risk exposures using rolling betas . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.31 | −6.78* | −0.57 | PRI signatories | −2.45 | −6.77** | −1.09 |
| (−0.97) | (−2.55) | (−0.53) | (−1.45) | (−2.63) | (−1.01) | ||
| Nonsignatories | 0.52 | 1.29 | −0.95 | Nonsignatories | 0.39 | 0.73 | −1.47 |
| (0.55) | (1.71) | (−1.34) | (0.31) | (0.71) | (−1.54) | ||
| Spread (PRI minus non-PRI) | −1.83** | −8.07** | 0.39 | Spread (PRI minus non-PRI) | −2.85** | −7.50** | 0.38 |
| (−2.68) | (−3.07) | (0.49) | (−3.57) | (−3.16) | (0.64) | ||
| Panel B: Adjusted for incubation bias . | Panel I: Adjusted for dynamic risk exposures using rolling betas . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.31 | −6.78* | −0.57 | PRI signatories | −2.45 | −6.77** | −1.09 |
| (−0.97) | (−2.55) | (−0.53) | (−1.45) | (−2.63) | (−1.01) | ||
| Nonsignatories | 0.52 | 1.29 | −0.95 | Nonsignatories | 0.39 | 0.73 | −1.47 |
| (0.55) | (1.71) | (−1.34) | (0.31) | (0.71) | (−1.54) | ||
| Spread (PRI minus non-PRI) | −1.83** | −8.07** | 0.39 | Spread (PRI minus non-PRI) | −2.85** | −7.50** | 0.38 |
| (−2.68) | (−3.07) | (0.49) | (−3.57) | (−3.16) | (0.64) | ||
| Panel C: Adjusted for serial correlation . | Panel J: Small investment firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −0.76 | −5.65* | 0.46 | PRI signatories | −1.79 | −4.60 | −1.80 |
| (−0.56) | (−2.10) | (0.42) | (−1.18) | (−1.62) | (−0.90) | ||
| Nonsignatories | 1.79 | 2.37** | 0.00 | Nonsignatories | 1.81 | 3.60** | −0.99 |
| (1.80) | (2.90) | (0.00) | (1.87) | (2.74) | (−0.82) | ||
| Spread (PRI minus non-PRI) | −2.56** | −7.19** | 0.46 | Spread (PRI minus non-PRI) | −3.59** | −8.19* | −0.81 |
| (−3.84) | (−2.72) | (0.62) | (−3.60) | (−2.40) | (−0.48) | ||
| Panel C: Adjusted for serial correlation . | Panel J: Small investment firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −0.76 | −5.65* | 0.46 | PRI signatories | −1.79 | −4.60 | −1.80 |
| (−0.56) | (−2.10) | (0.42) | (−1.18) | (−1.62) | (−0.90) | ||
| Nonsignatories | 1.79 | 2.37** | 0.00 | Nonsignatories | 1.81 | 3.60** | −0.99 |
| (1.80) | (2.90) | (0.00) | (1.87) | (2.74) | (−0.82) | ||
| Spread (PRI minus non-PRI) | −2.56** | −7.19** | 0.46 | Spread (PRI minus non-PRI) | −3.59** | −8.19* | −0.81 |
| (−3.84) | (−2.72) | (0.62) | (−3.60) | (−2.40) | (−0.48) | ||
| Panel D: Pre-fee returns . | Panel K: Large investment firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | 1.73 | −5.34 | 3.67* | PRI signatories | −1.15 | −6.06* | −0.62 |
| (1.01) | (−1.50) | (2.33) | (−0.91) | (−2.30) | (−0.63) | ||
| Nonsignatories | 5.09** | 6.07** | 3.37** | Nonsignatories | 0.41 | 1.10 | −0.64 |
| (3.94) | (6.20) | (3.30) | (0.42) | (1.46) | (−0.87) | ||
| Spread (PRI minus non-PRI) | −3.36** | −11.41** | 0.30 | Spread (PRI minus non-PRI) | −1.56* | −7.17** | 0.02 |
| (−4.32) | (−3.46) | (0.31) | (−2.52) | (−2.73) | (0.03) | ||
| Panel D: Pre-fee returns . | Panel K: Large investment firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | 1.73 | −5.34 | 3.67* | PRI signatories | −1.15 | −6.06* | −0.62 |
| (1.01) | (−1.50) | (2.33) | (−0.91) | (−2.30) | (−0.63) | ||
| Nonsignatories | 5.09** | 6.07** | 3.37** | Nonsignatories | 0.41 | 1.10 | −0.64 |
| (3.94) | (6.20) | (3.30) | (0.42) | (1.46) | (−0.87) | ||
| Spread (PRI minus non-PRI) | −3.36** | −11.41** | 0.30 | Spread (PRI minus non-PRI) | −1.56* | −7.17** | 0.02 |
| (−4.32) | (−3.46) | (0.31) | (−2.52) | (−2.73) | (0.03) | ||
| Panel E: Excluding activist hedge funds . | Panel L: Including delisted signatories . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.74 | −5.45* | −0.99 | PRI signatories | −0.62 | −5.62* | 0.42 |
| (−1.27) | (−2.16) | (−0.77) | (−0.48) | (−2.29) | (0.41) | ||
| Nonsignatories | 1.06 | 2.00* | −0.89 | Nonsignatories | 1.40 | 2.10* | −0.24 |
| (1.06) | (2.58) | (−1.11) | (1.46) | (2.57) | (−0.31) | ||
| Spread (PRI minus non-PRI) | −2.80** | −7.45** | −0.11 | Spread (PRI minus non-PRI) | −2.02** | −7.72** | 0.66 |
| (−4.13) | (−3.09) | (−0.12) | (−3.36) | (−3.18) | (0.99) | ||
| Panel E: Excluding activist hedge funds . | Panel L: Including delisted signatories . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.74 | −5.45* | −0.99 | PRI signatories | −0.62 | −5.62* | 0.42 |
| (−1.27) | (−2.16) | (−0.77) | (−0.48) | (−2.29) | (0.41) | ||
| Nonsignatories | 1.06 | 2.00* | −0.89 | Nonsignatories | 1.40 | 2.10* | −0.24 |
| (1.06) | (2.58) | (−1.11) | (1.46) | (2.57) | (−0.31) | ||
| Spread (PRI minus non-PRI) | −2.80** | −7.45** | −0.11 | Spread (PRI minus non-PRI) | −2.02** | −7.72** | 0.66 |
| (−4.13) | (−3.09) | (−0.12) | (−3.36) | (−3.18) | (0.99) | ||
| Panel F: FH + ESG factor . | Panel M: Pure play hedge fund firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.26 | −5.61* | 0.19 | PRI signatories | −1.46 | −6.24* | 0.51 |
| (−0.99) | (−2.26) | (0.18) | (−1.10) | (−2.49) | (0.46) | ||
| Nonsignatories | 1.18 | 1.81* | −0.31 | Nonsignatories | 1.25 | 2.38** | 0.28 |
| (1.23) | (2.59) | (−0.42) | (1.29) | (2.81) | (0.36) | ||
| Spread (PRI minus non-PRI) | −2.44** | −7.42** | 0.50 | Spread (PRI minus non-PRI) | −2.70** | −8.62** | 0.23 |
| (−3.92) | (−3.07) | (0.67) | (−4.07) | (−3.49) | (0.27) | ||
| Panel F: FH + ESG factor . | Panel M: Pure play hedge fund firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.26 | −5.61* | 0.19 | PRI signatories | −1.46 | −6.24* | 0.51 |
| (−0.99) | (−2.26) | (0.18) | (−1.10) | (−2.49) | (0.46) | ||
| Nonsignatories | 1.18 | 1.81* | −0.31 | Nonsignatories | 1.25 | 2.38** | 0.28 |
| (1.23) | (2.59) | (−0.42) | (1.29) | (2.81) | (0.36) | ||
| Spread (PRI minus non-PRI) | −2.44** | −7.42** | 0.50 | Spread (PRI minus non-PRI) | −2.70** | −8.62** | 0.23 |
| (−3.92) | (−3.07) | (0.67) | (−4.07) | (−3.49) | (0.27) | ||
| Panel G: FH + Bolton and Kacperczyk (2021) carbon emissions factor . | Panel N: Stock holdings from 13F + FactSet . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −0.67 | −5.10* | 0.52 | PRI signatories | −1.24 | −4.82* | 0.01 |
| (−0.51) | (−2.03) | (0.47) | (−0.97) | (−2.04) | (0.01) | ||
| Nonsignatories | 1.55 | 2.08* | −0.01 | Nonsignatories | 1.21 | 1.62 | −0.95 |
| (1.60) | (2.45) | (−0.01) | (1.26) | (1.90) | (−1.11) | ||
| Spread (PRI minus non-PRI) | −2.23** | −7.18** | 0.53 | Spread (PRI minus non-PRI) | −2.45** | −6.45** | 0.96 |
| (−3.37) | (−2.86) | (0.71) | (−3.93) | (−2.84) | (1.47) | ||
| Panel G: FH + Bolton and Kacperczyk (2021) carbon emissions factor . | Panel N: Stock holdings from 13F + FactSet . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −0.67 | −5.10* | 0.52 | PRI signatories | −1.24 | −4.82* | 0.01 |
| (−0.51) | (−2.03) | (0.47) | (−0.97) | (−2.04) | (0.01) | ||
| Nonsignatories | 1.55 | 2.08* | −0.01 | Nonsignatories | 1.21 | 1.62 | −0.95 |
| (1.60) | (2.45) | (−0.01) | (1.26) | (1.90) | (−1.11) | ||
| Spread (PRI minus non-PRI) | −2.23** | −7.18** | 0.53 | Spread (PRI minus non-PRI) | −2.45** | −6.45** | 0.96 |
| (−3.37) | (−2.86) | (0.71) | (−3.93) | (−2.84) | (1.47) | ||
Robustness tests
Hedge funds are sorted every month into two portfolios based on PRI endorsement (Columns 1 and 4) or into 2 × 3 portfolios based on PRI endorsement and hedge fund firm ESG scores (Columns 2, 3, 5, and 6). PRI denotes the United Nations Principles for Responsible Investment. Firm ESG scores are the value-weighted average of the Refinitiv ESG scores of the stocks held by hedge fund firms. Low ESG denotes firms with bottom-tercile ESG scores. High ESG denotes firms with top-tercile ESG scores. Performance is estimated relative to the Fung and Hsieh (2004) model. FH denotes the Fung and Hsieh (2004) model. The t-statistics, derived from White (1980) standard errors, are in parentheses. The sample period is from May 2006 to April 2019. * and ** denote significance at the 5% and 1% levels, respectively.
| . | Alpha (percent/year) . | . | Alpha (percent/year) . | ||||
|---|---|---|---|---|---|---|---|
| . | All funds . | Low ESG . | High ESG . | . | All funds . | Low ESG . | High ESG . |
. | |||||||
| Hedge fund portfolio . | (1) . | (2) . | (3) . | Hedge fund portfolio . | (4) . | (5) . | (6) . |
. | |||||||
| Panel A: Adjusted for backfill bias . | Panel H: FH + Hsu, Li, and Tsou (2021) toxic emissions factor . | ||||||
| PRI signatories | −1.55 | −5.69* | −0.17 | PRI signatories | −1.26 | −5.62* | 0.32 |
| (−1.22) | (−2.22) | (−0.16) | (−0.98) | (−2.29) | (0.29) | ||
| Nonsignatories | −0.15 | 1.80* | −1.13 | Nonsignatories | 1.20 | 2.10* | −0.23 |
| (−0.15) | (2.26) | (−1.36) | (1.24) | (2.61) | (−0.31) | ||
| Spread (PRI minus non-PRI) | −1.41* | −7.49** | 0.96 | Spread (PRI minus non-PRI) | −2.45** | −7.72** | 0.55 |
| (−2.13) | (−2.95) | (1.29) | (−3.94) | (−3.18) | (0.76) | ||
| . | Alpha (percent/year) . | . | Alpha (percent/year) . | ||||
|---|---|---|---|---|---|---|---|
| . | All funds . | Low ESG . | High ESG . | . | All funds . | Low ESG . | High ESG . |
. | |||||||
| Hedge fund portfolio . | (1) . | (2) . | (3) . | Hedge fund portfolio . | (4) . | (5) . | (6) . |
. | |||||||
| Panel A: Adjusted for backfill bias . | Panel H: FH + Hsu, Li, and Tsou (2021) toxic emissions factor . | ||||||
| PRI signatories | −1.55 | −5.69* | −0.17 | PRI signatories | −1.26 | −5.62* | 0.32 |
| (−1.22) | (−2.22) | (−0.16) | (−0.98) | (−2.29) | (0.29) | ||
| Nonsignatories | −0.15 | 1.80* | −1.13 | Nonsignatories | 1.20 | 2.10* | −0.23 |
| (−0.15) | (2.26) | (−1.36) | (1.24) | (2.61) | (−0.31) | ||
| Spread (PRI minus non-PRI) | −1.41* | −7.49** | 0.96 | Spread (PRI minus non-PRI) | −2.45** | −7.72** | 0.55 |
| (−2.13) | (−2.95) | (1.29) | (−3.94) | (−3.18) | (0.76) | ||
| Panel B: Adjusted for incubation bias . | Panel I: Adjusted for dynamic risk exposures using rolling betas . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.31 | −6.78* | −0.57 | PRI signatories | −2.45 | −6.77** | −1.09 |
| (−0.97) | (−2.55) | (−0.53) | (−1.45) | (−2.63) | (−1.01) | ||
| Nonsignatories | 0.52 | 1.29 | −0.95 | Nonsignatories | 0.39 | 0.73 | −1.47 |
| (0.55) | (1.71) | (−1.34) | (0.31) | (0.71) | (−1.54) | ||
| Spread (PRI minus non-PRI) | −1.83** | −8.07** | 0.39 | Spread (PRI minus non-PRI) | −2.85** | −7.50** | 0.38 |
| (−2.68) | (−3.07) | (0.49) | (−3.57) | (−3.16) | (0.64) | ||
| Panel B: Adjusted for incubation bias . | Panel I: Adjusted for dynamic risk exposures using rolling betas . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.31 | −6.78* | −0.57 | PRI signatories | −2.45 | −6.77** | −1.09 |
| (−0.97) | (−2.55) | (−0.53) | (−1.45) | (−2.63) | (−1.01) | ||
| Nonsignatories | 0.52 | 1.29 | −0.95 | Nonsignatories | 0.39 | 0.73 | −1.47 |
| (0.55) | (1.71) | (−1.34) | (0.31) | (0.71) | (−1.54) | ||
| Spread (PRI minus non-PRI) | −1.83** | −8.07** | 0.39 | Spread (PRI minus non-PRI) | −2.85** | −7.50** | 0.38 |
| (−2.68) | (−3.07) | (0.49) | (−3.57) | (−3.16) | (0.64) | ||
| Panel C: Adjusted for serial correlation . | Panel J: Small investment firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −0.76 | −5.65* | 0.46 | PRI signatories | −1.79 | −4.60 | −1.80 |
| (−0.56) | (−2.10) | (0.42) | (−1.18) | (−1.62) | (−0.90) | ||
| Nonsignatories | 1.79 | 2.37** | 0.00 | Nonsignatories | 1.81 | 3.60** | −0.99 |
| (1.80) | (2.90) | (0.00) | (1.87) | (2.74) | (−0.82) | ||
| Spread (PRI minus non-PRI) | −2.56** | −7.19** | 0.46 | Spread (PRI minus non-PRI) | −3.59** | −8.19* | −0.81 |
| (−3.84) | (−2.72) | (0.62) | (−3.60) | (−2.40) | (−0.48) | ||
| Panel C: Adjusted for serial correlation . | Panel J: Small investment firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −0.76 | −5.65* | 0.46 | PRI signatories | −1.79 | −4.60 | −1.80 |
| (−0.56) | (−2.10) | (0.42) | (−1.18) | (−1.62) | (−0.90) | ||
| Nonsignatories | 1.79 | 2.37** | 0.00 | Nonsignatories | 1.81 | 3.60** | −0.99 |
| (1.80) | (2.90) | (0.00) | (1.87) | (2.74) | (−0.82) | ||
| Spread (PRI minus non-PRI) | −2.56** | −7.19** | 0.46 | Spread (PRI minus non-PRI) | −3.59** | −8.19* | −0.81 |
| (−3.84) | (−2.72) | (0.62) | (−3.60) | (−2.40) | (−0.48) | ||
| Panel D: Pre-fee returns . | Panel K: Large investment firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | 1.73 | −5.34 | 3.67* | PRI signatories | −1.15 | −6.06* | −0.62 |
| (1.01) | (−1.50) | (2.33) | (−0.91) | (−2.30) | (−0.63) | ||
| Nonsignatories | 5.09** | 6.07** | 3.37** | Nonsignatories | 0.41 | 1.10 | −0.64 |
| (3.94) | (6.20) | (3.30) | (0.42) | (1.46) | (−0.87) | ||
| Spread (PRI minus non-PRI) | −3.36** | −11.41** | 0.30 | Spread (PRI minus non-PRI) | −1.56* | −7.17** | 0.02 |
| (−4.32) | (−3.46) | (0.31) | (−2.52) | (−2.73) | (0.03) | ||
| Panel D: Pre-fee returns . | Panel K: Large investment firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | 1.73 | −5.34 | 3.67* | PRI signatories | −1.15 | −6.06* | −0.62 |
| (1.01) | (−1.50) | (2.33) | (−0.91) | (−2.30) | (−0.63) | ||
| Nonsignatories | 5.09** | 6.07** | 3.37** | Nonsignatories | 0.41 | 1.10 | −0.64 |
| (3.94) | (6.20) | (3.30) | (0.42) | (1.46) | (−0.87) | ||
| Spread (PRI minus non-PRI) | −3.36** | −11.41** | 0.30 | Spread (PRI minus non-PRI) | −1.56* | −7.17** | 0.02 |
| (−4.32) | (−3.46) | (0.31) | (−2.52) | (−2.73) | (0.03) | ||
| Panel E: Excluding activist hedge funds . | Panel L: Including delisted signatories . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.74 | −5.45* | −0.99 | PRI signatories | −0.62 | −5.62* | 0.42 |
| (−1.27) | (−2.16) | (−0.77) | (−0.48) | (−2.29) | (0.41) | ||
| Nonsignatories | 1.06 | 2.00* | −0.89 | Nonsignatories | 1.40 | 2.10* | −0.24 |
| (1.06) | (2.58) | (−1.11) | (1.46) | (2.57) | (−0.31) | ||
| Spread (PRI minus non-PRI) | −2.80** | −7.45** | −0.11 | Spread (PRI minus non-PRI) | −2.02** | −7.72** | 0.66 |
| (−4.13) | (−3.09) | (−0.12) | (−3.36) | (−3.18) | (0.99) | ||
| Panel E: Excluding activist hedge funds . | Panel L: Including delisted signatories . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.74 | −5.45* | −0.99 | PRI signatories | −0.62 | −5.62* | 0.42 |
| (−1.27) | (−2.16) | (−0.77) | (−0.48) | (−2.29) | (0.41) | ||
| Nonsignatories | 1.06 | 2.00* | −0.89 | Nonsignatories | 1.40 | 2.10* | −0.24 |
| (1.06) | (2.58) | (−1.11) | (1.46) | (2.57) | (−0.31) | ||
| Spread (PRI minus non-PRI) | −2.80** | −7.45** | −0.11 | Spread (PRI minus non-PRI) | −2.02** | −7.72** | 0.66 |
| (−4.13) | (−3.09) | (−0.12) | (−3.36) | (−3.18) | (0.99) | ||
| Panel F: FH + ESG factor . | Panel M: Pure play hedge fund firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.26 | −5.61* | 0.19 | PRI signatories | −1.46 | −6.24* | 0.51 |
| (−0.99) | (−2.26) | (0.18) | (−1.10) | (−2.49) | (0.46) | ||
| Nonsignatories | 1.18 | 1.81* | −0.31 | Nonsignatories | 1.25 | 2.38** | 0.28 |
| (1.23) | (2.59) | (−0.42) | (1.29) | (2.81) | (0.36) | ||
| Spread (PRI minus non-PRI) | −2.44** | −7.42** | 0.50 | Spread (PRI minus non-PRI) | −2.70** | −8.62** | 0.23 |
| (−3.92) | (−3.07) | (0.67) | (−4.07) | (−3.49) | (0.27) | ||
| Panel F: FH + ESG factor . | Panel M: Pure play hedge fund firms . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −1.26 | −5.61* | 0.19 | PRI signatories | −1.46 | −6.24* | 0.51 |
| (−0.99) | (−2.26) | (0.18) | (−1.10) | (−2.49) | (0.46) | ||
| Nonsignatories | 1.18 | 1.81* | −0.31 | Nonsignatories | 1.25 | 2.38** | 0.28 |
| (1.23) | (2.59) | (−0.42) | (1.29) | (2.81) | (0.36) | ||
| Spread (PRI minus non-PRI) | −2.44** | −7.42** | 0.50 | Spread (PRI minus non-PRI) | −2.70** | −8.62** | 0.23 |
| (−3.92) | (−3.07) | (0.67) | (−4.07) | (−3.49) | (0.27) | ||
| Panel G: FH + Bolton and Kacperczyk (2021) carbon emissions factor . | Panel N: Stock holdings from 13F + FactSet . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −0.67 | −5.10* | 0.52 | PRI signatories | −1.24 | −4.82* | 0.01 |
| (−0.51) | (−2.03) | (0.47) | (−0.97) | (−2.04) | (0.01) | ||
| Nonsignatories | 1.55 | 2.08* | −0.01 | Nonsignatories | 1.21 | 1.62 | −0.95 |
| (1.60) | (2.45) | (−0.01) | (1.26) | (1.90) | (−1.11) | ||
| Spread (PRI minus non-PRI) | −2.23** | −7.18** | 0.53 | Spread (PRI minus non-PRI) | −2.45** | −6.45** | 0.96 |
| (−3.37) | (−2.86) | (0.71) | (−3.93) | (−2.84) | (1.47) | ||
| Panel G: FH + Bolton and Kacperczyk (2021) carbon emissions factor . | Panel N: Stock holdings from 13F + FactSet . | ||||||
|---|---|---|---|---|---|---|---|
| PRI signatories | −0.67 | −5.10* | 0.52 | PRI signatories | −1.24 | −4.82* | 0.01 |
| (−0.51) | (−2.03) | (0.47) | (−0.97) | (−2.04) | (0.01) | ||
| Nonsignatories | 1.55 | 2.08* | −0.01 | Nonsignatories | 1.21 | 1.62 | −0.95 |
| (1.60) | (2.45) | (−0.01) | (1.26) | (1.90) | (−1.11) | ||
| Spread (PRI minus non-PRI) | −2.23** | −7.18** | 0.53 | Spread (PRI minus non-PRI) | −2.45** | −6.45** | 0.96 |
| (−3.37) | (−2.86) | (0.71) | (−3.93) | (−2.84) | (1.47) | ||
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