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1、OXFORDDOWn-Oaded Hom h-tps7academ6oupcomro=artole281/45/7103324 by UrWerS=y Of-merna-na- BUS5ess and EConom6S USer On 20 FebrUary 2024ReviewofFinance,2024,45-74https:/doi.Org/10.1093rofrfad015AdvanceAccessPublicationDate:4April20231.owCarbonMutualFunds*MarcoCeccarelli,StefanoRamelli,andAlexanderF.Wa
2、gner1MaastrichtUniversity,TheNetherlands,2UniversityofSt.GallenandSwissFinanceInstitute,Switzerlandand3UniversityofZurich,CEPR1ECGI,andSwissFinanceInstitute,SwitzerlandAbstractClimatechangeposesnewchallengesforportfoliomanagement.Inournot-yet-lowcarbonworld,investorsfaceatrade-offbetweenminimizingth
3、eirexposuretoclimaterisksandmaximizingthebenefitsofportfoliodiversification.Thisarticleinvestigateshowinvestorsandfinancialintermediariesnavigatethistrade-off.AfterthereleaseofMorningstarsnovelcarbonriskmetricsinApril2018,mutualfundslabeledaslowcarbonexperiencedasignificantincreaseininvestordemand,e
4、speciallythosewithhighrisk-adjustedreturns.Fundmanagersactivelyreducedtheirexposuretofirmswithhighcarbonriskscores,especiallystockswithreturnsthatcorrelatedmorewiththefunds*portfoliosandwerethuslessusefulfordiversifica-tion.Thesefindingsshedlightonwhetherandhowclimate-relatedinformationcanre-orientc
5、apitalflowsinalowcarbondirection.Keywords:Behavioralfinance,Portfoliomanagement,Climatechange,Investorpreferences,Mutualfunds,SustainablefinanceJELclassification:D03,G02,G12,G23ReceivedJune3,2021;acceptedMarch5,2023byEditorMarcinKacperczyk.,WethankseminarparticipantsatMaastrichtUniversrty,EuropeanCo
6、mmissionsJointResearchCenter,QueenMaryUniversity,UniversityofZurich,UniversityofLiechtenstein,UniversityofSt.Gallen,CorporateFinanceWebinar,UniversityofMannheim,the2019CEPREuropeanSummerSymposiuminFinancialMarkets(eveningsession),the2019GRASFInference,the2019HelsinkiFinanceSummit,the2019PRIacademicc
7、onference,the2020UZHSustainableFinanceconference,the2020WesternFinanceAssociationconference,andtheESSEC-AmundiGreenFinancewebinarforusefulcomments.WearealsogratefultoMarcinKacperczyk(editor),twoanonymousco-editors.ananonymousreferee.MarieBriere,MiguelFerreira,StefanoGiglio,SamuelHartzmark,AugustinLa
8、ndier,StevenOngena,MelissaPrado.BertScholtens,PaulSmeets,LucianTaylor,MichaelViehs1andStefanZeisbergerforusefulsuggestions.WethankHortenseBioyandSaraSilanoatMorningstarforhelpfulclarifications.A.F.W.thankstheUniversityofZurichResearchPriorityProgramFinancialmarketregulationforfinancialsupport.Theaut
9、horsdeclarethattheyhavenorelevantormaterialfinancialintereststhatrelatetotheresearchdescribedinthisarticle.VcTheAuthor(三)2023.PublishedbyOxfordUniversityPressonbehalfoftheEuropeanFinanceAssociation.ThisisanOpenAessarticledistributedunderthetermsoftheCreativeCommonsAttributionLicense(https：/CreatiVe8
10、m-mons.org沛CenSeSy4.0),whichpermitsunrestrictedreuse,distribution,andreproductioninanymedium,providedtheorigin-alworkisproperlycited.1.IntroductionHowshouldinvestorsbehaveinthefaceofclimate-relatedrisksandtheenergytransitiontoalowcarbonworld?Toanswerthisquestion,itisimportanttorecognizethataccount-i
11、ngforclimaterisksininvestmentdecisionsbringsinvestorsbothbenefitsandcosts.Ontheonehand,shunningcarbon-intensive,“brown“assetscanreduceaninvestorsexposuretoclimaterisks.Theseriskshaveyettofullymaterialize,bothintermsofphysicalconsequencesandsocietalreactions,andmanyobserversbelievethattheyarecurrentl
12、yunderestimatedinassetprices(StroebelandWurgler,2021).Ontheotherhand,inournot-yet-Iowcarboneconomy,excluding“brown“assetsandinvestingonlyinthoseconsidered“green”requireinvestorstoforegoopportunitiestodiversify.Thistrade-offisparticularlysalientinassetmanagement,whereportfoliodiversification,notonlyt
13、hefeaturesofindi-vidualsecurities,playsacrucialroleinreducingoverallinvestmentrisk(Markowitz.1952).Inthisarticle,westudyhowinvestorsandassetmanagersnavigatethistrade-off.Wefocusonthemutualfundindustry,whichrepresentsanimportantshareofglobalfinancialmarkets,andexploitaquasi-naturalexperimentinvolving
14、asuddenincreaseinboththeavailabilityandsalienceofinformationoncarbonrisk(climatetransitionrisk),thatis,theclassofriskderivingfromthetransitiontoalowercarboneconomy.AswedescribeinmoredetailinSection2,onApril30,2018,Momingstar,themostimportantdataproviderinthemutualfundindustry,releasedanewPortfolioCa
15、rbonRiskScorederivedfromHnn-IeveldataprovidedbySustainalytics,whichMomingstarhascontrolledsince2017.ThenoveltyofMorningstarsPortfolioCarbonRiskScoreishighlightedbythefactthatitcor-relatesonlymildlywithotherportfoliometrics,basedonpreviouslyavailableenvironmen-talscoresfromSustainalytics,Refinitiv,an
16、dMSCIKLD.Basedonitsnewcarbonriskscore,combinedwithrelativelystandardinformationonfirmsfossilfuelinvolvement(FFI),Momingstaralsoissuedaneco-labelIbrmutualfundsthelowcarbondesignation(LCD).WeusealargesampleofactiveEuropeanandUSmutualfundstostudyinvestors,andfundmanagersreactionstotheseinformationshocksproducedbythepublicationofMorningstar,sPortfolioCarbonRiskScoreanditsassociatedLCDeco-label.Wedevelop(heconceptualframeworkguidi
