Green Ambiguity Shapes Sustainable Investing
研究发现，绿色ETF依赖的多种环境指标定义模糊且不一致，导致所谓的“绿色投资”因指标选择而异，且绿色ETF与基于不同指标构建的合成绿色基金风险特征不同，可能不属于同一资产类别。
ABSTRACT Green Exchange‐Traded Funds (ETFs) have experienced strong growth in recent years, reflecting increasing investor attention toward sustainability. However, these funds rely on a wide range of environmental metrics that are often weakly aligned, raising concerns about the meaning of greenness in sustainable investing. In this study, we investigate the “true greenness” of green ETFs. We use alternative environmental metrics to select the greenest stocks among the constituents of the 10 largest green ETFs and construct Synthetic Green Funds (SGFs). We show that SGF composition is highly sensitive to the chosen metric, implying that what qualifies as a green investment varies markedly across definitions. Finally, we find that green ETFs and SGFs are driven by different risk factors, suggesting that they may not belong to the same asset class. Our results show how ambiguity in environmental metrics shapes sustainable investing, with important implications for ongoing regulatory standardization efforts.