Details

Climate Investing

New Strategies and Implementation Challenges
1. Aufl.

von: Emmanuel Jurczenko
126,99 €
Verlag:	Wiley
Format:	PDF
Veröffentl.:	09.12.2022
ISBN/EAN:	9781394192359
Sprache:	englisch
Anzahl Seiten:	400

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Beschreibungen

Titelbeschreibung

This edited book consists of a collection of original articles written by leading industry and academic experts in the area of climate investing. The chapters introduce the reader to some of the latest research developments in the area of low-carbon investing and climate change solutions. Each chapter deals with new methods for estimating portfolio carbon footprints, constructing Paris-aligned equity and multi-asset portfolios and hedging climate risks. This title will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of climate investing.

Inhaltsverzeichnis

Foreword xiii Fiona FRICK Chapter 1 The Financial Materiality of Climate Change: Evidence from a Global Survey 1 Amir AMEL-ZADEH 1.1 Introduction 1 1.2 Survey design and demographic data 4 1.2.1 Survey design 4 1.2.2 Demographic data 5 1.3 Survey results 8 1.3.1 Importance of climate change for investment decisions 9 1.3.2 Financial materiality of climate risk 12 1.3.3 Challenges for the disclosure and use of climate change information 19 1.4 Summary and conclusion 25 1.5 References 26 Chapter 2 Looking Forward with Historical Carbon Data 29 Steffen BIXBY, Alfie BRIXTON and Lukasz POMORSKI 2.1 Introduction 29 2.2 Data 32 2.3 How stale is historical carbon data? 33 2.4 Are historically brown firms getting greener? Might green firms become browner? 35 2.5 Nowcasting financed emissions using historical data 38 2.6 Conclusion 43 2.7 Appendix 44 2.7.1 Measures of portfolio greenhouse gas emissions 46 2.8 References 46 Chapter 3 Portfolio Construction with Climate Risk Measures 49 Théo LE GUENEDAL and Thierry RONCALLI 3.1 Introduction 49 3.2 Climate risk measures 51 3.2.1 Carbon footprint 51 3.2.2 Carbon transition pathway 58 3.2.3 Other metrics 62 3.3 Portfolio optimization 63 3.3.1 General framework 63 3.3.2 Portfolio decarbonization 64 3.3.3 Portfolio alignment 72 3.4 Conclusion 83 3.5 Appendices 84 3.5.1 Appendix 1: Scope 3 emissions 84 3.5.2 Appendix 2: Data 84 3.6 References 85 Chapter 4 Hedging Climate Risks: A Cross-asset Approach 87 Emmanuel JURCZENKO and Jérôme TeilETCHE 4.1 Introduction 87 4.2 Factor-mimicking portfolios methodology 89 4.2.1 General FMP approach 89 4.2.2 Errors-in-variable estimates 91 4.3 Hedging climate risk factors 94 4.3.1 Setup 94 4.3.2 Climate textual risk factors data 94 4.3.3 Base assets data 97 4.3.4 In-sample hedging results 99 4.3.5 Out-of-sample hedging results 102 4.4 Conclusion 104 4.5 Appendices 104 4.5.1 Appendix 1: General FMP portfolio optimization program 104 4.5.2 Appendix 2: Principal components instrumental variables FMP estimator 105 4.6 References 107 Chapter 5 A Framework for Achieving Net-Zero-Carbon Alpha Portfolios 109 Sebastian LANCETTI 5.1 Introduction 109 5.2 Carbon emission in the capital market 111 5.3 Passive approach to zero-carbon portfolios 111 5.4 Active approach to zero-carbon portfolios 114 5.4.1 Backward-looking data: carbon efficiency 115 5.4.2 Present-time data: “nowcasting” of environmental news 116 5.4.3 Forward-looking data: corporate climate alignment and adaptation plans 116 5.4.4 Case study: sustainable global equity strategy from PanAgora Asset Management 117 5.5 Carbon offsets 118 5.6 Conclusion 120 5.7 Appendix 121 5.8 References 121 Chapter 6 Active Paris-aligned Equity Investing 123 Katharina SCHWAIGER, Jim SNOW, Viktoria-Sophie WENDT and Andrew ANG 6.1 Introduction 123 6.2 Standards of Paris-aligned benchmarks 124 6.3 Climate-aware alpha drivers 126 6.3.1 Carbon resource efficiency 126 6.3.2 Green patents 127 6.3.3 Corporate target setting 127 6.4 Empirical results 128 6.4.1 Decarbonization pathway 129 6.4.2 Climate-aware alpha 129 6.4.3 Incorporating climate-aware alphas and decarbonization 131 6.4.4 Systematic active Paris-aligned strategies 133 6.5 Conclusion 137 6.6 Appendix: Paris-aligned equity strategy screens 137 6.7 References 139 Chapter 7 Green Alpha 141 Yin LUO 7.1 Introduction 141 7.2 Research methodology 141 7.2.1 Region classification 142 7.2.2 ESG-specific industry classification 143 7.2.3 Common style factors 144 7.2.4 Backtesting methodology 145 7.3 MSCI ESG rating 146 7.3.1 MSCI ESG data 146 7.3.2 Data coverage and average rating 147 7.3.3 An overview of MSCI ESG rating methodology 148 7.3.4 ESG pillars, themes and key issues 149 7.4 Characteristics of ESG – a factor perspective 151 7.4.1 The basics 151 7.4.2 Difference across sectors 153 7.4.3 Factor exposure 157 7.5 ESG as stock-selection factors 161 7.5.1 Aggregated ESG rating and the three pillars 161 7.5.2 Revenue, country and industry adjustment 162 7.5.3 Other adjustment 165 7.5.4 ESG momentum 165 7.5.5 Performance of aggregate ESG and three pillar scores 165 7.6 Environmental factors 170 7.6.1 Zooming into clean technology 170 7.6.2 Carbon emissions along the supply chain 174 7.7 ESG signals are additive to traditional stock-selection factors 179 7.7.1 Performance comparison with traditional stock-selection factors 180 7.7.2 Correlation with traditional factors 182 7.7.3 The diversification benefit offered by ESG factors 183 7.8 Conclusion 188 7.9 References 188 Chapter 8 Enhancing Environment-driven Portfolios with Traditional Factors 191 Guillaume COQUERET, Christian MORGENSTERN, James KELLY, Sascha STIERNEGRIP, Johannes FREY-SKÖTT and Björn ÖSTERBERG 8.1 Introduction 191 8.2 Framework 193 8.2.1 ESG overlays: the classic overlay 193 8.2.2 The factor embedding – the factor overlay 195 8.3 Empirical tests 197 8.3.1 Data and protocol 197 8.3.2 Baseline results 199 8.3.3 Statistical significance 202 8.3.4 Sector exposure 204 8.3.5 Transfer coefficients 205 8.4 Robustness checks 206 8.4.1 The sample size 206 8.4.2 A more passive benchmark 207 8.5 Conclusion 208 8.6 Appendix: Distribution of variables 209 8.7 References 210 Chapter 9 Enhancing the Accuracy of Firm Valuation with Multiples Using Carbon Emissions 213 Martin NERLINGER 9.1 Data 218 9.1.1 Carbon data 218 9.1.2 Financial data 219 9.2 Multiple construction methodology 219 9.2.1 Identifying and composing suitable peer group 220 9.2.2 Constructing and aggregating multiples 220 9.2.3 Determining firm valuation errors 222 9.3 Constructing new multiples using carbon data 222 9.4 Constructing peer groups using carbon data 228 9.5 Combining carbon emission multiples and carbon emission enhanced peer groups 233 9.6 Robustness 236 9.7 Recommendation for using carbon emissions for multiples and further research 239 9.8 References 240 Chapter 10 Risk Management Challenges in Sustainability Themed Portfolios: An Application to GHG-constrained Portfolios 245 Ryan M. BROWN, Harindra DE SILVA and David W. KRIDER 10.1 Introduction 245 10.2 Methodology 248 10.3 Data description 253 10.4 Results 258 10.5 Conclusion and implications 264 10.6 References 265 Chapter 11 Absolutely Sustainable Investing Across Asset Classes with Paris-aligned Benchmarks: An Application to AP2 267 Claes EKMAN, Andreas G.F. HOEPNER, Peter MANNERBJÖRK, Tomas MORSING and Gabija ZDANCEVICIUTE 11.1 Introduction 267 11.2 The climate benchmarks 269 11.2.1 Minimum benchmark requirements 270 11.2.2 Benchmark decarbonization and inflation adjustment 272 11.3 Absolutely sustainable investing 273 11.4 Case study: implementation of PAB at Andra AP-fonden 274 11.4.1 The Swedish pension system and the AP-funds 274 11.4.2 Development of sustainability integration and benchmarks at AP2 275 11.4.3 Implementing the EU Paris-aligned Benchmark at AP2 278 11.4.4 Specific aspects 285 11.4.5 Discussion 288 11.5 Conclusion 291 11.6 References 292 Chapter 12 Delegated Philanthropy in Mutual Fund Votes on Climate Change Externalities 295 Marie BRIÈRE, Sébastien POUGET, Martin SCHMALZ and Loredana URECHE-RANGAU 12.1 Introduction 295 12.2 Sample, data sources, variables and descriptive statistics 298 12.2.1 Mutual fund votes 298 12.2.2 Mutual fund characteristics 299 12.2.3 Mutual fund holdings 300 12.2.4 Descriptive statistics 300 12.3 Empirical analysis 302 12.3.1 Impact of the percentage of SRI on the support for climate resolutions 302 12.3.2 Resolutions on other corporate externalities 304 12.3.3 Drivers of support for climate change resolutions 307 12.3.4 Robustness 311 12.4 Conclusion 318 12.5 Appendix: Classification of shareholder resolutions 319 12.6 References 321 Chapter 13 Creditworthiness and Buildings’ Energy Efficiency in the Mortgage Market 325 Monica BILLIO, Michele COSTOLA, Loriana PELIZZON, Francesco PORTIOLI, Max RIEDEL and Daniele VERGARI 13.1 Introduction 325 13.2 Portfolio analysis 327 13.2.1 Energy efficiency 327 13.2.2 Descriptive statistics 330 13.3 Methodology 333 13.3.1 Logit regression 334 13.3.2 Cox proportional hazards model 335 13.4 Results 337 13.4.1 Estimates from the logit regression 337 13.4.2 Estimates from the Cox regression 339 13.4.3 Additional findings 343 13.5 Conclusion 343 13.6 Appendix 346 13.7 References 346 Chapter 14 The Thesis for Green Investing and Other ESG through the Looking Glass of China and the US 349 Brad CORNELL and Jason C. HSU 14.1 Introduction 349 14.2 Who and what does Green investing impact? 350 14.3 Who should set the Green investing agenda? 351 14.3.1 Should Green Initiatives be determined by elected civil servants or by rating services, investment funds and corporate CEOs? 351 14.3.2 The Milton Friedman take on who should drive ESG 351 14.3.3 American ESG in conflict with American democracy? 354 14.3.4 Who drives environmental protection policy and other ESG issues in China? 354 14.3.5 Good intentions but bad skills? 356 14.4 Earning a Green alpha?! 357 14.5 Market efficiency and ESG 361 14.6 Conclusion 362 14.7 References 363 List of Authors 365 Index 369