Value effects of sovereign wealth funds' exclusionary policies: The case of the Norwegian government pension fund-global (NGPF-G)
Bibliographic record
Abstract
We examine the value effects of exclusions by the NGPF-G, the world's largest ethical sovereign wealth fund and find that the exclusions elicited mixed response from investors in the short term. The excluded firm experienced significantly negative returns on the announcement date and the week following the exclusions. However, the firms realized higher returns over the three weeks after the exclusion compared to a control sample of firms that are still in the portfolio of the NGPF-G. Analysis of the institutional holdings shows that hedge funds increased their investments in the excluded firms. The excluded firms' operating performance significantly improved after the exclusion. However, consistent with the assertion that the shares of the excluded firms could be overvalued in the short term because the market is unable to price the environmental and social risk which culminated in the exclusion, we find that the excluded firms' underperformed the control sample four years after the exclusion.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.010 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.002 | 0.002 |
| Scholarly communication | 0.003 | 0.002 |
| Open science | 0.001 | 0.002 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".