2024RF-低碳共同基金(英).docx

OXFORDDOWn-Oaded Hom h-tps7academ6oupcomro=artole281/45/7103324 by UrWerS=y Of-merna-na- BUS5ess and EConom6S USer On 20 FebrUary 2024ReviewofFinance,2024,45-74https:/doi.Org/10.1093rofrfad015AdvanceAccessPublicationDate:4April20231.owCarbonMutualFunds*MarcoCeccarelli,StefanoRamelli,andAlexanderF.Wagner1MaastrichtUniversity,TheNetherlands,2UniversityofSt.GallenandSwissFinanceInstitute,Switzerlandand3UniversityofZurich,CEPR1ECGI,andSwissFinanceInstitute,SwitzerlandAbstractClimatechangeposesnewchallengesforportfoliomanagement.Inournot-yet-lowcarbonworld,investorsfaceatrade-offbetweenminimizingtheirexposuretoclimaterisksandmaximizingthebenefitsofportfoliodiversification.Thisarticleinvestigateshowinvestorsandfinancialintermediariesnavigatethistrade-off.AfterthereleaseofMorningstar'snovelcarbonriskmetricsinApril2018,mutualfundslabeledaslowcarbon"experiencedasignificantincreaseininvestordemand,especiallythosewithhighrisk-adjustedreturns.Fundmanagersactivelyreducedtheirexposuretofirmswithhighcarbonriskscores,especiallystockswithreturnsthatcorrelatedmorewiththefunds*portfoliosandwerethuslessusefulfordiversifica-tion.Thesefindingsshedlightonwhetherandhowclimate-relatedinformationcanre-orientcapitalflowsinalowcarbondirection.Keywords:Behavioralfinance,Portfoliomanagement,Climatechange,Investorpreferences,Mutualfunds,SustainablefinanceJELclassification:D03,G02,G12,G23ReceivedJune3,2021;acceptedMarch5,2023byEditorMarcinKacperczyk.,WethankseminarparticipantsatMaastrichtUniversrty,EuropeanCommission'sJointResearchCenter,QueenMaryUniversity,UniversityofZurich,UniversityofLiechtenstein,UniversityofSt.Gallen,CorporateFinanceWebinar,UniversityofMannheim,the2019CEPREuropeanSummerSymposiuminFinancialMarkets(eveningsession),the2019GRASFInference,the2019HelsinkiFinanceSummit,the2019PRIacademicconference,the2020UZHSustainableFinanceconference,the2020WesternFinanceAssociationconference,andtheESSEC-AmundiGreenFinancewebinarforusefulcomments.WearealsogratefultoMarcinKacperczyk(editor),twoanonymousco-editors.ananonymousreferee.MarieBrie're,MiguelFerreira,StefanoGiglio,SamuelHartzmark,AugustinLandier,StevenOngena,MelissaPrado.BertScholtens,PaulSmeets,LucianTaylor,MichaelViehs1andStefanZeisbergerforusefulsuggestions.WethankHortenseBioyandSaraSilanoatMorningstarforhelpfulclarifications.A.F.W.thankstheUniversityofZurichResearchPriorityProgram"Financialmarketregulation"forfinancialsupport.Theauthorsdeclarethattheyhavenorelevantormaterialfinancialintereststhatrelatetotheresearchdescribedinthisarticle.VcTheAuthor(三)2023.PublishedbyOxfordUniversityPressonbehalfoftheEuropeanFinanceAssociation.ThisisanOpenAessarticledistributedunderthetermsoftheCreativeCommonsAttributionLicense(https：/CreatiVe8m-mons.org沛CenSeS>y4.0),whichpermitsunrestrictedreuse,distribution,andreproductioninanymedium,providedtheorigin-alworkisproperlycited.1.IntroductionHowshouldinvestorsbehaveinthefaceofclimate-relatedrisksandtheenergytransitiontoalowcarbonworld?Toanswerthisquestion,itisimportanttorecognizethataccount-ingforclimaterisksininvestmentdecisionsbringsinvestorsbothbenefitsandcosts.Ontheonehand,shunningcarbon-intensive,“brown“assetscanreduceaninvestor'sexposuretoclimaterisks.Theseriskshaveyettofullymaterialize,bothintermsofphysicalconsequencesandsocietalreactions,andmanyobserversbelievethattheyarecurrentlyunderestimatedinassetprices(StroebelandWurgler,2021).Ontheotherhand,inournot-yet-Iowcarboneconomy,excluding“brown“assetsandinvestingonlyinthoseconsidered“green”requireinvestorstoforegoopportunitiestodiversify.Thistrade-offisparticularlysalientinassetmanagement,whereportfoliodiversification,notonlythefeaturesofindi-vidualsecurities,playsacrucialroleinreducingoverallinvestmentrisk(Markowitz.1952).Inthisarticle,westudyhowinvestorsandassetmanagersnavigatethistrade-off.Wefocusonthemutualfundindustry,whichrepresentsanimportantshareofglobalfinancialmarkets,andexploitaquasi-naturalexperimentinvolvingasuddenincreaseinboththeavailabilityandsalienceofinformationoncarbonrisk(climatetransitionrisk),thatis,theclassofriskderivingfromthetransitiontoalowercarboneconomy.AswedescribeinmoredetailinSection2,onApril30,2018,Momingstar,themostimportantdataproviderinthemutualfundindustry,releasedanewPortfolioCarbonRiskScorederivedfromHnn-IeveldataprovidedbySustainalytics,whichMomingstarhascontrolledsince2017.ThenoveltyofMorningstar'sPortfolioCarbonRiskScoreishighlightedbythefactthatitcor-relatesonlymildlywithotherportfoliometrics,basedonpreviouslyavailableenvironmen-talscoresfromSustainalytics,Refinitiv,andMSCIKLD.Basedonitsnewcarbonriskscore,combinedwithrelativelystandardinformationonfirms'fossilfuelinvolvement(FFI),Momingstaralsoissuedaneco-labelIbrmutualfundsthelowcarbondesignation(LCD).WeusealargesampleofactiveEuropeanandUSmutualfundstostudyinvestors,andfundmanagers'reactionstotheseinformationshocksproducedbythepublicationofMorningstar,sPortfolioCarbonRiskScoreanditsassociatedLCDeco-label.Wedevelop(heconceptualframeworkguidi