【报告摘要】We develop a novel method to infer intra-quarter trading of individual mutual funds. Al\u0002though mutual funds report their holdings once every quarter, they are required to report their portfolio returns every day. After a mutual fund executes a trade, its reported portfolio returns further deviate from its quarter-end-holdings-based returns (assuming no trading).This sudden jump in return deviation allows us to infer the transaction date and amount. We apply our method to studying strategic trading of ESG stocks by mutual funds around quarter ends. Our evidence suggests that in recent years, mutual funds buy high-ESG stocks and sell low-ESG stocks right before quarter ends, and reverse their trades at the beginning of the next quarter. This trading pattern is concentrated among mutual funds right around the cutoff of four and five ESG rating stars, which have the strongest incentives to boost ESG performance. These trades also affect prices: high-ESG stocks outperform low-ESG stocks right before quarter ends, and underperform at the beginning of the next quarter.

【报告人简介】楼栋教授是香港科技大学金融学讲座教授、香港科技大学花旗集团商学教授、香港科技大学金融研究院院长、商学院副院长。主要研究领域包括资产定价、投资管理和行为金融等。他目前是Journal of Finance、Journal of Financial Economics和Management Science的副主编，在JF、JFE、RFS等国际顶级期刊上发表了15篇文章。