PRI announces winning papers from the PRI - Sycomore AM Award

The PRI announced the winning papers from the PRI – Sycomore AM Award at this year’s PRI in Person conference in London. The theme for the 2015 call for papers matched that of the PRI’s three-year strategic plan: From awareness to impact.

We gratefully acknowledge Sycomore AM for sponsoring this year’s awards. All of the papers will be covered in the next issue of RI Quarterly.

The winning papers were:

Best qualitative paper

Immature or impossible: making environmental, social and corporate governance issues calculable for investors?
Dr. Anna Young-Ferris, University of Sydney

This paper presents an in-depth case study of the way that InvestCo, a large asset manager, has attempted to fulfil its PRI commitment to “integrate ESG into investment valuation and decision-making”. Through careful interviews with a number of employees in different roles at the firm, Young’s paper elicits information both about the firm’s incorporation of ESG data into its research systems, and about the frustrations and limits it has encountered when seeking to quantify and systematise ESG analysis within a traditional financial framework. The paper provides a useful overview of the current state of ESG integration, through an example that is likely typical of many global firms.

Best quantitative paper

The ‘Price of Sin’ aversion: Ivory tower illusion or real investable alpha?
Dr. Hampus Adamsson, ICMA Centre, Henley Business School, University of Reading

With a very rigorous methodology, this paper disproves the much-discussed thesis that “sin stocks” have outperformed because they became undervalued following divestment by institutional investors. Hoepner demonstrates that this apparent “return on vice” is actually an illusion produced by various manifestations of size bias, which disappears when this bias is carefully corrected. Beyond its clarification of the particular topic at issue, the study provides a useful example of how claims about the market effects of exclusionary screening can and should be interrogated, and contributes to the general literature on the effect of ESG factors on investment returns.

Best student paper

Politics and pension funds: Does the political colour of US states impact the investment behaviour of their public pension funds?
Lisa Schopohl, ICMA Centre, Henley Business School, University of Reading

The paper extends the growing literature on political values in finance. Using a detailed database of US public pension fund holdings, the authors analyse whether the political climate of a state impacts the tendency to incorporate environmental, social and governance (ESG) criteria into their investment decisions. Confirming prior anecdotal evidence, the paper indeed finds that Democratic-leaning states indeed tilt more strongly towards companies that score well on ESG issues as compared to Republican-leaning states. Furthermore, this trend has intensified since the launch of the PRI. The paper not only contributes to responsible investing academic research but also adds to the public debate on the role of pension funds (or asset owners in general) to promote responsible investing.

The full agenda and the papers presented at the PRI Academic Workshop  on the 11 September at The Systemic Risk at the London School of Economics and Political Science are now available here.