碳风险是否会使基金更加脆弱？

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-06-12 DOI:10.1016/j.jempfin.2024.101523

Hu Wang

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引用次数: 0

摘要

碳风险暴露如何影响基金的脆弱性，这是一个重要而尚未探索的课题。在此基础上，我探讨了基金的碳风险敞口对其脆弱性的影响。我发现，碳风险敞口越高的基金越脆弱。笔者进一步研究了基金碳风险敞口对其脆弱性的影响机制，并验证了基金流量相关性和基金组合流动性渠道。我发现，基金碳风险敞口的增加会提高流量相关性，降低投资组合流动性，从而增加其脆弱性。异质性分析结果也凸显了碳风险暴露对社会责任表现较差、投资组合集中度较高的基金的脆弱性影响更大。

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Does carbon risk exposure make funds more vulnerable?

How carbon risk exposure affects fund vulnerability is an important and unexplored topic. On this basis, I explore the impact of the carbon risk exposure of funds on their vulnerability. I find that funds with higher carbon risk exposure are more vulnerable. I further investigate the mechanism by which the carbon risk exposure of funds affects their vulnerability and verify the fund flow correlation and fund portfolio liquidity channels. I find that the increase in the carbon risk exposure of funds increases flow correlation and reduces portfolio liquidity, thereby increasing their vulnerability. The heterogeneity analysis results also highlight the greater impact of carbon risk exposure on the vulnerability of funds with poor social responsibility performance and higher portfolio concentration.

G11; G12; G23

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.