The countdown to carbon neutrality: Implications for passive investors
研究了追踪欧盟气候转型基准和巴黎协定基准的股票ETF，发现前者与普通ETF表现无显著差异，后者则表现更差，表明严格减排目标会损害投资者回报。
• Investigate the performance of equity exchange-traded funds (ETFs) tracking EU Climate Transition Benchmarks (CTB) and EU Paris-Aligned Benchmarks (PAB). • Equity CTB ETFs exhibit no significant performance difference compared to their non-sustainable counterparts. • Equity PAB ETFs have underperformed their non-sustainable counterparts. • Stringent emission reduction objectives and activity exclusions are detrimental to financial returns. In 2019 the European Union (EU) Climate Benchmarks Regulation established a set of standardized emission reduction criteria for financial benchmarks. This study examines the risk-adjusted performance of equity exchange-traded funds (ETFs) tracking EU Climate Transition Benchmarks (CTBs) and EU Paris-Aligned Benchmarks (PABs). Our findings reveal that, after the implementation of the regulation, equity CTB ETFs have exhibited no significant risk-adjusted performance difference compared to their non-sustainable twin ETFs. Conversely, equity PAB ETFs, which adhere to more stringent environmental standards, have underperformed their non-sustainable counterparts. Our results suggest that stringent emission reduction objectives have a negative effect on investors’ returns.