TY - JOUR T1 - The Impact of ESG Risks on the Performance of Infrastructure Mutual Funds JF - The Journal of Impact and ESG Investing DO - 10.3905/jesg.2023.1.066 SP - jesg.2023.1.066 AU - Manel Kammoun AU - Djerry C. Tandja M. Y1 - 2023/01/24 UR - https://pm-research.com/content/early/2023/01/24/jesg.2023.1.066.abstract N2 - Prior studies find mixed evidence on the impact of environmental, social, and governance (ESG) risk ratings on mutual fund performance. These studies implicitly assume that ESG risks are equally important for all sectors. In this article, we argue that ESG risk ratings are more likely to matter for securities related to a sector with a highly visible footprint. We provide complementary evidence to the existing literature by focusing on the performance of mutual funds investing in the infrastructure sector (IMFs). Using a sample of US equity IMFs, we find that lower ESG commitment is associated with higher performance (Carhart alpha) during normal periods, whereas it is associated with lower performance during recessions or bear market periods. Interestingly, our results also show that ESG risk scores do not affect the performance of comparable mutual funds not investing in the infrastructure sector (even in bear market periods). ER -