Performance of energy ETFs and climate risks

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2024-11-08 DOI:10.1016/j.eneco.2024.108031

Minh Nhat Nguyen, Ruipeng Liu, Youwei Li

引用次数: 0

Abstract

We investigate whether green (brown) portfolios constructed from clean energy ETFs (fossil fuel ETFs) yield positive (negative) returns conditional on climate-related risks. While the green portfolios do not unconditionally outperform the brown ones, the outperformance of green portfolios is statistically significant under the conditional setting using non-parametric estimates with imposing inequality restrictions. Our conditional studies also show that brown portfolios are riskier than green ones with various measurements. We present the heterogeneity in the effect of climate information on the return and risk of green and brown portfolios. Furthermore, we document that fund flows for green assets are higher than those for brown ones during periods of high climate risks. Our findings are robust to alternative specifications.

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能源 ETF 的表现与气候风险

我们研究了由清洁能源 ETF（化石燃料 ETF）构建的绿色（棕色）投资组合是否会在气候相关风险的条件下产生正（负）回报。虽然绿色投资组合的表现并不是无条件地优于棕色投资组合，但在有条件的情况下，利用施加了不平等限制的非参数估计，绿色投资组合的优于性在统计上是显著的。我们的条件研究还表明，在不同的测量条件下，棕色投资组合的风险高于绿色投资组合。我们介绍了气候信息对绿色和棕色投资组合收益和风险影响的异质性。此外，我们还发现，在气候风险高发期，绿色资产的资金流量高于棕色资产。我们的研究结果对其他规格都是稳健的。

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

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.