This paper examines the impact of negative screening by responsible sovereign wealth funds on the value of excluded firms. We focus on the main sovereign wealth fund, the Government Pension Fund Global of Norway, which excluded 149 firms from its portfolio during the period 2006–2018. Using an event study methodology, we document a significant decrease in excluded firms’ stock prices. Moreover, we find that the nature of screening matters: norm‐based exclusions suffer from a significant and permanent decrease in their stock value, suggesting that market participants reacted to the Government Pension Fund Global of Norway exclusions. Overall, it can be asserted that the Norwegian fund has a strong signalling effect on financial markets, in terms of social and environmental information. We conclude that sovereign wealth funds could be used by governments as investment vehicles in order to promote responsible investments on a large scale.

中文翻译：

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挪威主权财富基金的负面审查如何影响企业的价值和行为

本文研究了负责任的主权财富基金进行负面筛选对被排除企业的价值的影响。我们专注于主要的主权财富基金，挪威政府全球养老基金，该基金在2006-2018年期间从其投资组合中排除了149家公司。使用事件研究方法，我们记录了被排除企业的股价大幅下降。此外，我们发现筛选的性质很重要：基于规范的例外情况会导致其股票价值永久性大幅下降，这表明市场参与者对挪威政府全球养老金基金做出了反应。总体而言，可以断言挪威基金在社会和环境信息方面对金融市场具有强烈的信号作用。