期刊
ECOLOGICAL ECONOMICS
卷 161, 期 -, 页码 50-60出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ecolecon.2019.03.008
关键词
Carbon footprint; Pension funds; Active portfolio management
We study whether investors are actively decarbonizing their portfolios. With the adoption of the Paris Agreement in December 2015, a better understanding of portfolio related carbon dioxide (CO2) exposures has become increasingly important for investors, regulators and society at large. Carbon-intensive stocks still carry a substantial weight in common market benchmarks. We analyze if investors are actively divesting by deviating from market benchmark allocations to reduce carbon exposures. We utilize a stock-level holdings dataset of Dutch pension funds over the period 2009-2017 and combine this with firm-level CO2 emissions information to measure the portfolio carbon footprint and active portfolio management. We find that pension funds that deviate from market benchmark weights have substantially lower carbon footprints. This effect is mostly driven by reduced exposures to carbon-intensive industries and is larger for pension funds that measure and report their carbon footprints. We find no evidence that deviations from the market benchmark impair risk-adjusted portfolio performance.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据