ReviewofFinance,2024,45–74Downloadedfromhttps://academic.oup.com/rof/article/28/1/45/7103324byUniversityofInternationalBusinessandEconomicsuseron20February2024https://doi.org/10.1093/rof/rfad015AdvanceAccessPublicationDate:4April2023LowCarbonMutualFundsMarcoCeccarelli1,StefanoRamelli2,andAlexanderF.Wagner31MaastrichtUniversity,TheNetherlands,2UniversityofSt.GallenandSwissFinanceInstitute,Switzerlandand3UniversityofZurich,CEPR,ECGI,andSwissFinanceInstitute,SwitzerlandAbstractClimatechangeposesnewchallengesforportfoliomanagement.Inournot-yet-lowcarbonworld,investorsfaceatrade-offbetweenminimizingtheirexposuretoclimaterisksandmaximizingthebenefitsofportfoliodiversification.Thisarticleinvestigateshowinvestorsandfinancialintermediariesnavigatethistrade-off.AfterthereleaseofMorningstar’snovelcarbonriskmetricsinApril2018,mutualfundslabeledas“lowcarbon”experiencedasignificantincreaseininvestordemand,es-peciallythosewithhighrisk-adjustedreturns.Fundmanagersactivelyreducedtheirexposuretofirmswithhighcarbonriskscores,especiallystockswithreturnsthatcorrelatedmorewiththefunds’portfoliosandwerethuslessusefulfordiversifica-tion.Thesefindingsshedlightonwhetherandhowclimate-relatedinformationcanre-orientcapitalflowsinalowcarbondirection.Keywords:Behavioralfinance,Portfoliomanagement,Climatechange,Investorpreferences,Mutu...
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