Low carbon transition risk in mutual fund portfolios: Managerial involvement and performance effects
研究了管理层持股和社会责任关注如何降低基金组合的碳风险暴露，以及低碳转型风险对基金风险调整后绩效和资金流的影响。
Abstract Transitioning to a low‐carbon economy to mitigate the effects of climate change involves risks. We investigate the effects of managerial ownership and management on the low carbon transition risk of mutual fund portfolios and the effects of low carbon transition risk on mutual fund performance and flows. Using low carbon transition risk ratings based on the unmanaged carbon risk of the companies included in fund portfolios, we find that managerial ownership and the socially responsible focus of the fund reduce fund portfolio exposure to carbon risk, whereas active management has the opposite effect. Furthermore, we find that funds with low carbon transition risk produce a better risk‐adjusted performance are more sensitive to tail risks and exhibit a better fund flow performance.