Do investors perceive climate risk at the portfolio level in mutual funds? By combining detailed fund portfolio data with firm management discussion and analysis (MD&A) and annual reports, we construct a portfolio-level climate risk metric for funds and assess its impact on fund flows. Our findings reveal that investors, driven by precautionary concerns, tend to withdraw from funds with higher portfolio climate risk, resulting in net outflows. We further identify the moderating effects of strategic behavior in mutual fund families, mutual fund fees, investor attention, and investment concentration.

中文翻译：

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投资组合气候风险和资金流动表现


投资者是否在共同基金的投资组合层面感知到气候风险？通过将详细的基金投资组合数据与公司管理层讨论与分析 （MD&A） 和年度报告相结合，我们为基金构建投资组合层面的气候风险指标，并评估其对资金流动的影响。我们的研究结果显示，投资者在预防性考虑的驱使下，倾向于从投资组合气候风险较高的基金中撤出，从而导致净流出。我们进一步确定了共同基金家族中战略行为、共同基金费用、投资者关注度和投资集中度的调节作用。