Effects of ESG Uncertainty on Pension Funds' Sustainable Investment Disclosure
M.J. Vos (TU Delft - Technology, Policy and Management)
L.M. Kamp – Mentor (TU Delft - Technology, Policy and Management)
E. Schröder – Mentor (TU Delft - Technology, Policy and Management)
A.A. Ralcheva – Graduation committee member (TU Delft - Technology, Policy and Management)
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Abstract
Pension funds play an important role in the transition to a more sustainable economy. Many funds report how they consider environmental, social, and governance (ESG) factors in their investment strategies. At the same time, ESG has become more politically debated and less predictable. This creates uncertainty about how sustainability commitments will be interpreted. This uncertainty may influence not only investment decisions but also how pension funds communicate about sustainable investing in their public reports.
This thesis studies how ESG-related uncertainty affects sustainable investing disclosure by Dutch pension funds. It focuses on whether higher uncertainty changes how prominently and how broadly funds discuss sustainability in their annual reports. The analysis combines a monthly ESG Uncertainty Index for the Netherlands with a new dataset of annual reports from 124 Dutch pension funds between 2018 and 2024. Using text analysis methods, the reports are translated into indicators that measure how much funds discuss sustainable investing, how many topics and strategies they mention, and how concrete their statements are.
The results show a consistent but modest pattern. When ESG uncertainty increases, pension funds devote slightly less attention to sustainable investing and cover fewer topics, strategies, and asset classes. In other words, sustainability reporting becomes somewhat narrower. However, the remaining statements do not become less concrete. This suggests that funds mainly adjust the breadth of their sustainability narrative rather than the precision of their language.
The effects are somewhat stronger for smaller pension funds and for some funds with higher carbon exposure. Overall, the results relate to communication rather than direct changes in investment behaviour.
The findings show that sustainability disclosure can also function as strategic communication. During periods of uncertainty, pension funds may narrow how they present their sustainability activities. For policymakers and supervisors, this highlights the importance of monitoring how sustainability reporting evolves over time.