Cost and performance of carbon risk in socially responsible mutual funds
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
comunitat-uji-handle4:
INVESTIGACIONMetadatos
Título
Cost and performance of carbon risk in socially responsible mutual fundsFecha de publicación
2023Editor
AIMS PressISSN
2573-0134Cita bibliográfica
MATALLÍN-SÁEZ, Juan Carlos; SOLER-DOMÍNGUEZ, Amparo. Cost and performance of carbon risk in socially responsible mutual funds. Quantitative Finance and Economics, 2023, vol. 7, núm. 1, p. 50-73Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.aimspress.com/article/id/6407d5ceba35de773bc85da5Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
Investors and other financial actors are attracted by the role of socially responsible (SR)
mutual funds in the transition to a low-carbon economy. In response to the demand for more
information, Morningstar reported ... [+]
Investors and other financial actors are attracted by the role of socially responsible (SR)
mutual funds in the transition to a low-carbon economy. In response to the demand for more
information, Morningstar reported the level of carbon risk of funds by using the following indicators:
Carbon Risk, Carbon Management, Carbon Operations risk and Carbon Exposure. Dealing with a
sample of 3370 equity SR mutual funds worldwide from 2017 to 2021, this study analyzes the
relationships between these indicators and the expense ratio and performance of the funds. In general,
the results point to funds with lower carbon scores that have lower fees and perform better than those
with higher scores. Considering the effects of the COVID-19 crisis, this evidence holds true for most
of the sample period analyzed. With a spatial analysis, although the evidence generally holds,
regional differences are found. Thus, funds that invest in the USA and Canada are on average
cheaper and show lower carbon scores, while funds that are oriented to other areas, such as emerging
markets, are more expensive and show higher scores. In summary, there is good news for the utility
function of the investor and the planet: Green investing is cheaper and better. [-]
Publicado en
Quantitative Finance and Economics, 2023, vol. 7, no 1, p. 50-73Entidad financiadora
Ministerio de Economía y Competitividad de España | Universitat Jaume I | Ministerio de Ciencia e Innovación. Agencia Estatal de Investigación
Código del proyecto o subvención
ECO2017-85746-P | UJI-B2020-48 | GACUJI/2021/09 | PID2020-115450GB-I00
Derechos de acceso
info:eu-repo/semantics/openAccess
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