Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2022 erstellt
Beschreibung:
We construct a novel carbon risk measure to assess mutual funds’ carbon risk exposure based on mutual fund holding data and further explore how such exposure affects mutual funds’ performance, risk, and flows. First, we find carbon risk negatively predicts fund future raw and risk-adjusted performance. Second, we find that carbon risk correlates with different risk factors and funds with higher carbon risk exposure are associated with higher unexplained risk. Third, we show that carbon risk adversely affects future fund flows. Mutual funds with higher carbon risk exposure experience a negative flow shock in the subsequent period. Meanwhile, when social sentiment on climate change increases, carbon risk affects fund flows more negatively. Further analyses show that these findings only exist in institutional funds, suggesting that institutional investors pay more attention to climate change issues than retail investors do. Finally, we show that mutual funds’ carbon risk exposure is not fully captured in traditional Environmental, Social, and Governance (ESG) measures