The countdown to carbon neutrality: Implications for passive investors

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2024-10-15 DOI:10.1016/j.econlet.2024.112024

Nicola Carta , Matteo Carta , Ugo Rigoni

引用次数: 0

Abstract

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.

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碳中和倒计时：对被动投资者的影响

2019 年，《欧盟气候基准法规》为金融基准制定了一套标准化减排标准。本研究考察了追踪欧盟气候过渡基准（CTB）和欧盟巴黎协定基准（PAB）的股票交易所交易基金（ETF）的风险调整后表现。我们的研究结果表明，在法规实施后，股票 CTB ETF 与其非可持续孪生 ETF 相比，在风险调整后的表现上没有明显差异。相反，遵守更严格环境标准的股票 PAB ETF 的表现却不如其非可持续同类 ETF。我们的研究结果表明，严格的减排目标对投资者的回报有负面影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.