Carbon-intensive industries in Socially Responsible mutual funds'' portfolios

Muñoz, Fernando (Universidad de Zaragoza)

Resumen: In this research, I study the exposure of Socially Responsible mutual funds (SR) to black industries (i.e., carbon-intensive sectors: fossil fuel, metal and utilities) and its effect on the financial performance. To this purpose, I analyze the industry portfolio allocation of a sample of 136 actively-managed US SR mutual funds, investing in domestic and global equity, in the period January 2012–December 2018. I observe that the average weight of black industries in these portfolios is 9.51% falling over time (13.45% in 2012 versus 7.40% in 2018). Another finding is that a greater exposure to fossil fuel and metal industries negatively impacts the portfolios'' financial performance. In addition, SR funds managed by firms located in Republican-leaning states and in states with greater CO2 emissions per capita, are more exposed to carbon-intensive industries, suggesting that SR funds'' managers could be influenced by local factors when making their investment decisions. Finally, I observe that SR funds marketed under “low-carbon” labels live up to their name and are less exposed to fossil fuel and metal industries than other types of SR funds.

Idioma: Inglés

DOI: 10.1016/j.irfa.2021.101740

Año: 2021

Publicado en: International review of financial analysis 75 (2021), [17 pp.]
ISSN: 1057-5219

Factor impacto JCR: 8.235 (2021)

Categ. JCR: BUSINESS, FINANCE rank: 4 / 111 = 0.036 (2021) - Q1 - T1

Factor impacto CITESCORE: 7.2 - Economics, Econometrics and Finance (Q1)

Factor impacto SCIMAGO: 1.833 - Finance (Q1) - Economics and Econometrics (Q1)

Financiación: info:eu-repo/grantAgreement/ES/DGA-FEDER/S38-20R-CIBER
Financiación: info:eu-repo/grantAgreement/ES/MCIU-AEI-FEDER/RTI2018-093483-B-I00
Financiación: info:eu-repo/grantAgreement/ES/UZ/JIUZ-2018-SOC-13

Tipo y forma: Article (Published version)

Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)