{"title":"Does carbon risk exposure make funds more vulnerable?","authors":"Hu Wang","doi":"10.1016/j.jempfin.2024.101523","DOIUrl":null,"url":null,"abstract":"<div><p>How carbon risk exposure affects fund vulnerability is an important and unexplored topic. On this basis, I explore the impact of the carbon risk exposure of funds on their vulnerability. I find that funds with higher carbon risk exposure are more vulnerable. I further investigate the mechanism by which the carbon risk exposure of funds affects their vulnerability and verify the fund flow correlation and fund portfolio liquidity channels. I find that the increase in the carbon risk exposure of funds increases flow correlation and reduces portfolio liquidity, thereby increasing their vulnerability. The heterogeneity analysis results also highlight the greater impact of carbon risk exposure on the vulnerability of funds with poor social responsibility performance and higher portfolio concentration.</p><p>G11; G12; G23</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"78 ","pages":"Article 101523"},"PeriodicalIF":2.1000,"publicationDate":"2024-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Empirical Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927539824000586","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
How carbon risk exposure affects fund vulnerability is an important and unexplored topic. On this basis, I explore the impact of the carbon risk exposure of funds on their vulnerability. I find that funds with higher carbon risk exposure are more vulnerable. I further investigate the mechanism by which the carbon risk exposure of funds affects their vulnerability and verify the fund flow correlation and fund portfolio liquidity channels. I find that the increase in the carbon risk exposure of funds increases flow correlation and reduces portfolio liquidity, thereby increasing their vulnerability. The heterogeneity analysis results also highlight the greater impact of carbon risk exposure on the vulnerability of funds with poor social responsibility performance and higher portfolio concentration.
期刊介绍：
The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.
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