The environmental policy of the Norwegian Government Pension Fund‐Global and investors' reaction over time
研究以挪威政府养老金全球基金为世界市场组合代理，分析2006至2021年投资者对因环境违规被剔除股票的价格反应，发现巴黎协定后环保意识增强，但不同国家反应各异。
Abstract Taking the greatest socially responsible sovereign wealth fund in the world, namely, the Norwegian Government Pension Fund‐Global (GPF‐G), as a proxy for the world market portfolio, and collecting investment data from 2006 to 2021, our research studies how the attitude of environmentally concerned investors has changed, on different markets, over time, particularly before and after the 2015 Paris Climate Agreement. We investigate, with an event study methodology, what happens to stock prices when companies are excluded from the GPF‐G portfolio for serious environmental violations, unacceptable level of greenhouse gas emissions, or for their involvement in thermal coal processing. In line with previous studies, our results show that Paris Agreement has acted as a catalyst for environmentally conscious behavior by international investors, and this is particularly true in Anglo‐Saxon countries. Especially US, Japanese, Chilean, Indian, and Canadian investors care about the environmental issues that have led to the exclusion from the fund investment portfolio. To the contrary, investors in China, Germany, Australia, and UK seem to have an opposite reaction, as the prices of the excluded stocks increase.