Climate change news sensitivity and mutual fund performance
研究发现，对气候变化新闻敏感度高的共同基金（高气候新闻贝塔）每月风险调整后收益比敏感度低的基金高0.24%，这些基金倾向于持有能对冲气候新闻风险的股票。
In the presence of rising concern about climate change that potentially affects risk and return of investors' portfolio companies, active investors might have dispersed climate change risk exposures. We compute mutual fund covariance with market-wide climate change news index and find that high (positive) climate news beta funds outperform low (negative) climate news beta funds by 0.24% per month on a risk-adjusted basis. High climate news beta funds tilt their holdings toward stocks with high potential to hedge against climate change news risk. In the cross section, such stocks yield higher excess returns, which are driven by greater pricing pressure and superior financial performance over our sample period.