The performance of low-carbon equity funds
- This study examines the performance of low-carbon equity funds by gaining a better understanding of what drove past performance, what opportunity costs arose from higher idiosyncratic risks, and which components would shape future expectations. Low-carbon funds outperformed medium- and high-carbon funds under traditional factor models, but this advantage declined after incorporating carbon-related factors and fund characteristics. Adjusting for the opportunity costs of idiosyncratic risk particularly weakened low-carbon fund performance. Considering factor premia, exposures, characteristics, and diversification costs, investors should expect lower returns relative to a passive market-wide benchmark and roughly comparable outcomes across low-, medium-, and high-carbon funds.
| Author: | Kevin Birk, Martin RohlederORCiDGND, René WehGND, Marco WilkensORCiDGND |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-1276607 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/127660 |
| ISSN: | 1057-5219OPAC |
| Parent Title (English): | International Review of Financial Analysis |
| Publisher: | Elsevier BV |
| Place of publication: | Amsterdam |
| Type: | Article |
| Language: | English |
| Year of first Publication: | 2026 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2026/01/27 |
| Volume: | 111 |
| First Page: | 105096 |
| DOI: | https://doi.org/10.1016/j.irfa.2026.105096 |
| Institutes: | Wirtschaftswissenschaftliche Fakultät |
| Wirtschaftswissenschaftliche Fakultät / Institut für Betriebswirtschaftslehre | |
| Wirtschaftswissenschaftliche Fakultät / Institut für Betriebswirtschaftslehre / Lehrstuhl für Finanz- und Bankwirtschaft | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  CC-BY 4.0: Creative Commons: Namensnennung |
