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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | The Impact of the Sustainable Financial Disclosure Regulation on Fund Holdings |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2021 |
| Abstract Text | This master’s thesis investigates the impact of the recent entrance into application of the EU Sustainable Financial Disclosure Regulation on fund holdings. Starting from a deep dive into the main features of this historic regulatory milestone, I propose a methodological approach to measure the Regulation’s impact and understand the main challenges surrounding data availability and quality. Due to the novelty of the topic, updated data has not become available yet at the time of writing. As such the paper has the nature of an "as-if" analysis were the signature of the EU Taxonomy Regulation on the 18th of June 2020 is used as the simulated shock event date. Through a regression discontinuity design, I conclude that, within the scope of the simulated analysis, the SFDR had a significant and positive impact on funds’ preference for high ESG score equities. Although companies with higher ESG ratings are generally more likely to be included in funds’ portfolios after the event, there is no clear link between being classified as a more sustainable fund under the Regulation and preferring more sustainable equities compared to less sustainable funds. |
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