Sustainable and Responsible Investment (SRI) funds – the largest component of the fast-expanding sustainable financial investment industry – apply environmental, social and governance (ESG) analyses to manage their investment portfolios and are particularly demanding in terms of issuers' disclosure. In this paper we take a step forward and ask whether adopting high-quality sustainability disclosure is important also for SRI funds' holding companies. Specifically, we introduce a novel metrics on the extent of holding companies' sustainability disclosure based on the quality of their Global Reporting Initiative (GRI) reporting. In parallel, we use a standard approach to measure a fund's ESG intensity, that is, the weighted ESG average of a fund's investments. Indeed, we find that an SRI fund's ESG intensity systematically improves when the associated holding company improves its GRI sustainability disclosure. Moreover, we show that this positive effect of holdings' disclosure on a fund's ESG intensity is larger in jurisdictions with less stringent regulation on disclosure, where the signaling value of GRI disclosure is supposedly heightened. Our results do not seem to be driven by endogeneity between a fund's ESG intensity and its holding company's GRI reporting. First, a fund's ESG investment policy and its holding company's sustainability disclosure policy lie on separate decision ladders. Second, we show that the two variables are empirically uncorrelated. Third, our results prove resilient to a battery of robustness checks. The implication of our finding is that holding companies' sustainability disclosure engagement can reap a benefit for their managed SRI funds – provided ESG ratings are reliable –, whose enhanced credibility might prove a key competitive factor.

中文翻译：

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可持续披露与 ESG 强度：控股和 SRI 基金之间是否存在交叉效应？

可持续和负责任投资 (SRI) 基金——快速扩张的可持续金融投资行业的最大组成部分——应用环境、社会和治理 (ESG) 分析来管理其投资组合，并且对发行人的披露要求特别高。在本文中，我们向前迈进了一步，询问采用高质量的可持续性披露是否对 SRI 基金的控股公司也很重要。具体而言，我们根据控股公司的全球报告倡议组织 (GRI) 报告的质量，引入了一种关于控股公司可持续性披露程度的新指标。同时，我们使用标准方法来衡量基金的 ESG 强度，即基金投资的加权 ESG 平均值。事实上，我们发现 SRI 基金' s 当相关控股公司改进其 GRI 可持续性披露时，ESG 强度系统性地提高。此外，我们表明，在披露监管不太严格的司法管辖区，持股披露对基金 ESG 强度的这种积极影响更大，据称 GRI 披露的信号价值被提高了。我们的结果似乎并不是由基金的 ESG 强度与其控股公司的 GRI 报告之间的内生性驱动的。首先，基金的 ESG 投资政策和其控股公司的可持续发展披露政策位于不同的决策阶梯上。其次，我们表明这两个变量在经验上是不相关的。第三，我们的结果证明对一系列稳健性检查具有弹性。我们发现的含义是，控股公司的