Cost and performance of carbon risk in socially responsible mutual funds

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2023-01-01 DOI:10.3934/qfe.2023003
J. C. Matallín‐Sáez, A. Soler‐Domínguez
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Abstract

Investors and other financial actors are attracted by the role of socially responsible (SR) mutual funds in the transition to a low-carbon economy. In response to the demand for more information, Morningstar reported the level of carbon risk of funds by using the following indicators: Carbon Risk, Carbon Management, Carbon Operations risk and Carbon Exposure. Dealing with a sample of 3370 equity SR mutual funds worldwide from 2017 to 2021, this study analyzes the relationships between these indicators and the expense ratio and performance of the funds. In general, the results point to funds with lower carbon scores that have lower fees and perform better than those with higher scores. Considering the effects of the COVID-19 crisis, this evidence holds true for most of the sample period analyzed. With a spatial analysis, although the evidence generally holds, regional differences are found. Thus, funds that invest in the USA and Canada are on average cheaper and show lower carbon scores, while funds that are oriented to other areas, such as emerging markets, are more expensive and show higher scores. In summary, there is good news for the utility function of the investor and the planet: Green investing is cheaper and better.
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社会责任共同基金的碳风险成本与绩效
投资者和其他金融行为者被社会责任共同基金在向低碳经济转型中的作用所吸引。为了回应更多信息的需求,晨星公司通过以下指标来报告基金的碳风险水平:碳风险、碳管理、碳运营风险和碳暴露。本研究以2017 - 2021年全球3370只股票型SR共同基金为样本,分析了这些指标与基金费用率和业绩之间的关系。总体而言,研究结果表明,碳排放得分较低的基金收费较低,表现优于得分较高的基金。考虑到COVID-19危机的影响,这一证据在分析的大部分样本期间都是正确的。通过空间分析,尽管证据普遍成立,但也发现了区域差异。因此,投资于美国和加拿大的基金平均成本更低,碳得分也更低,而投资于其他地区(如新兴市场)的基金成本更高,得分也更高。总之,对于投资者和地球的效用函数来说,有一个好消息:绿色投资更便宜、更好。
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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