The Role of ESG Ratings in Shaping Chinese Investors’ Decision-Making Behavior: An Analysis from the Fund Signaling Perspective
Round 1
Reviewer 1 Report
Comments and Suggestions for AuthorsIntroduction and the literature overview sections should be re-written following the academic style of writing. Current version of the Introduction reads more like a report. It needs to be thoroughly rewritten. It should follow the format: introductory paragraph; what does the paper do and why (i.e., motivation for the study); main results; how do the results of the study correspond to the existing literature; short ending paragraph introducing following sections.
One paragraph on why China may be a good laboratory for the examined research questions should be enough. However, it should include references, so that all the facts mentioned in the section could be independently verified.
Writing should be more concise. Important facts or conjectures should cite existing research.
What is missing from the discussion is e.g., the distinction between the retail and institutional investors. The literature documents that the two groups behave differently (see e.g., Welch, 2022; Mazur, Salganik-Shoshan, and Zagonov, 2017, among others). This argument should be incorporated into the literature review.
Hypothesis development section lacks strong background. Hypotheses should be rooted into the existing literature. Right now the paper is extremely weak along this dimension.
I am completely puzzled reading “our” in the hypothesis development section (e.g., : Our fund investors will chase high yielding funds). What does “our” mean in this context? It is completely off-standard. This should be corrected throughout.
Data collection and sample selection process should be presented in a more transparent way. What are the data sources? What variables are available in the data-sets used by Author(s)? Again, this section should be considerably improved.
In Conclusions, again if Author(s) make any conjecture, there should be a reference. This paper makes a huge number of statements without appropriate referencing.
ESG falls from the sky. I do not see any information related to ESG in the data description section or summary statistics. In light of this, the conclusions related to ESG seem unsubstantiated.
Paper should be proof-read. There are many typos. E.g., “definition” not “define”, etc. Sentences should be short. Very many sentences are incomprehensible.
References
Welch, I., 2022. The wisdom of the Robinhood crowd. The Journal of Finance, 77(3), pp.1489-1527.
Mazur, M., Salganik-Shoshan, G. and Zagonov, M., 2017. Comparing performance sensitivity of retail and institutional mutual funds’ investment flows. Finance research letters, 22, pp.66-73.
Comments on the Quality of English Languagepaper must be proof-read before resubmission
Author Response
Please see the attachment.
Author Response File: 
Author Response.pdf
Reviewer 2 Report
Comments and Suggestions for AuthorsMajor comments:
(1)In the introduction, the author mentions the shortcomings of the simplified CAPM model in evaluating funds, yet still utilizes the model. Particularly in Section 4.2, the author states that “the annual yield has the high-490 est R², which indicates that compared to the annual yield has a stronger explanatory power for fund cash flow“, which somehow contradicts the earlier statement in introduction. The author should carefully articulate the deficiencies of various models in evaluating funds.
(2) The models considered by the author (15)-(22) are all linear models. In reality, cash flows are unlikely to exhibit a linear relationship as the dependent variable. Why not use nonlinear models for regression?
(3) What are the specific expressions for “Flow_HEAR”, “Flow_HStar”, etc., in formulas (23)-(25)? How are they related to (17)-(22)? Similarly, what are the expressions for “R_HEAR“, “R_HStar”, etc., in formulas (26)-(28)? Are the “T” in formulas (23)-(25) the same as those in (26)-(28)? If not, please use different symbols to denote them.
(4) What probability distribution do errors in (13)-(15) typically follow?
(5) Please explain how it is deduced from Table 11 that "… from which it can be seen that the raw return of the low annual return group 1 in the future period is 8.057%, while the raw return of the high annual return group 5 in the future period is only 4.472%, …" Similarly, for Table 12, "…from which it can be concluded that the raw return of the low rating group 1 in the future period is 7.189%, while the raw return of the high rating group 5 in the future period is 6.262%...".
(6)How does the robustness of the findings of this section manifest from the results in Table 14? The author should provide further explanation of the conclusions supported by the data in the table, rather than simply listing the data and drawing a conclusion.
(7) In the univariate ranking test of cash flows, why is the basis for sorting ratings according to the top and bottom 9.2% of the sample? What impact would choosing other percentages have on the results?
Minor comments
(1) The article exhibits numerous issues in formulae and writing, reflecting the author's lack of experience in academic writing. For instance, there are no commas or periods after all formulae, variable descriptions following formulae should not be capitalized, there are missing spaces between text and variables, and mathematical variables are inconsistently styled.
(2) Are Flow_{i,y} and R_{i,t} in (1) and (2) defined in (Li Ke 2011) or by authors themselves? If self-defined, please explain the rationale;
I suggest an extensively edition of academic English throughout the whole paper.
Comments on the Quality of English LanguageI suggest an extensively edition of academic English throughout the whole paper.
Author Response
Please see the attachment.
Author Response File: Author Response.pdf
Reviewer 3 Report
Comments and Suggestions for Authors
Ця стаття представляє критичний аналіз припущення про раціональну людину в традиційній фінансовій теорії, висвітлюючи два її ключові передумови. Це ефективно підкреслює проблеми, з якими стикаються інвестори при повній обробці ринкової інформації через обмеження уваги та різну доступність даних. Обговорений емпіричний аналіз проливає світло на поведінку інвесторів у фонди в Китаї, особливо підкреслюючи їхню залежність від сильних сигналів і подальший вплив на інвестиційні рішення.
Загалом, цей текст значно сприяє розумінню поведінки інвесторів і процесів прийняття рішень у контексті традиційної фінансової теорії, а також пропонує відповідні рекомендації для політиків та учасників ринку. Було б дуже корисно від ретельного огляду літератури , щоб контекстуалізувати його висновки в рамках існуючих досліджень і подальшого посилення його наукового внеску.
Comments 1: This article presents a critical analysis of the rational man assumption in traditional financial theory, highlighting two of its key premises. This effectively exposes the impediments investors encounter in processing comprehensive market information due to attentional capacity limitations and varying data availability. The empirical analysis discussed elucidates the behavior of Chinese fund investors, particularly emphasizing their reliance on strong signals and the subsequent influence on investment decisions.
Overall, this article contributes significantly to the understanding of investor behavior and decision-making processes within the framework of conventional financial theory, and provides relevant insights for policymakers and market participants. It would be advantageous to append a comprehensive literature review to contextualize the findings within the extant scholarly discourse, thereby enhancing the scientific significance of the contribution.
Author Response
Please see the attachment.
Author Response File: Author Response.pdf
Round 2
Reviewer 1 Report
Comments and Suggestions for AuthorsAuthors(s) did not follow the recommendations enclosed in the referee report. For example, I suggested the Author(s) rewrite the introduction following the template of the academic journal, which the Author(s) completely ignored. There have been some relatively unimportant sentences pasted into the old version of the manuscript but that fact does not make the paper publishable.
Comments for author File: Comments.pdf
Author Response
Please see the attachment.I highly value your revision suggestions and have made extensive optimizations and modifications to the text.
Author Response File: Author Response.pdf
Reviewer 2 Report
Comments and Suggestions for AuthorsThe author has replied to my concerns, and I no other questions about the current version. However, the expression of mathematical formulas in the text is still not standardized. There are similar issues after almost every formula, and the author should fix them one by one. For example,
(1) row 222-225: In this paper, the fund net inflow of fund i in quarter t is defined as follows:
Flow=***, (There must be a comma after formula (1))
where TNAi,t is fund i's net assets at the end of quarter t....;.
(2) There must be a period after formula (2).
(3) row 228: there must a space between "the" and "adjNAVi,t".
Please fix these problems in all formulas.
Author Response
Thank you for suggesting the changes, which have all been made to the current formula.
Round 3
Reviewer 1 Report
Comments and Suggestions for AuthorsUnfortunately, the Author(s) of the paper did not follow my recommendations. For example, I suggest Author(s) revise the Introduction according to the specific template including the motivation for the paper and discussion of the results obtained. I am extremely surprised to see that the Author(s) ignore my comments. They revise the paper but mostly in a purely linguisitc manner without taking the account the quality of the academic content of their study. Also, I ask for a seaparte paragraph on why China might be a good laboratory for the examined research questions and again the Author(s) ignore my suggestion. Taken together, I have no choice but to reject the paper.
Author Response
Thank you for your suggestion. The article has been revised with an introduction according to your template. The first paragraph is an introductory paragraph as well as the purpose of the paper, the second paragraph conducts a review of current relevant literature, and the third paragraph describes the specificity of ESG ratings in China and further draws out the findings of the paper as well as the differences with foreign types of research. If there is anything missing, please continue to suggest specific areas that need to be revised, thanks again!
