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.

中文翻译：

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能源 ETF 的表现和气候风险


我们研究了由清洁能源 ETF（化石燃料 ETF）构建的绿色（棕色）投资组合是否会产生以气候相关风险为条件的正（负）回报。虽然绿色投资组合的表现并非无条件地优于棕色投资组合，但在使用施加不平等限制的非参数估计的有条件设置下，绿色投资组合的跑赢表现具有统计学意义。我们的条件研究还表明，在各种衡量标准下，棕色投资组合比绿色投资组合风险更大。我们提出了气候信息对绿色和棕色投资组合的回报和风险影响的异质性。此外，我们记录了在高气候风险时期，绿色资产的资金流向高于棕色资产。我们的研究结果对其他规范具有稳健性。