Climate investing : new strategies and implementation challenges / Emmanuel Jurczenko, editor.

Format:

Book

Contributor:

Jurczenko, Emmanuel, editor.

Series:

Innovation, entrepreneurship and management series

Language:

English

Subjects (All):

Investments--Environmental aspects.

Investments.

Environmental economics.

Physical Description:

1 online resource (396 pages)

Place of Publication:

Hoboken, NJ : John Wiley & Sons, Inc., [2023]

Summary:

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.

Contents:

Cover

Title Page

Copyright Page

Contents

Foreword

Chapter 1. The Financial Materiality of Climate Change: Evidence from a Global Survey

1.1. Introduction

1.2. Survey design and demographic data

1.2.1. Survey design

1.2.2. Demographic data

1.3. Survey results

1.3.1. Importance of climate change for investment decisions

1.3.2. Financial materiality of climate risk

1.3.3. Challenges for the disclosure and use of climate change information

1.4. Summary and conclusion

1.5. References

Chapter 2. Looking Forward with Historical Carbon Data

2.1. Introduction

2.2. Data

2.3. How stale is historical carbon data?

2.4. Are historically brown firms getting greener? Might green firms become browner?

2.5. Nowcasting financed emissions using historical data

2.6. Conclusion

2.7. Appendix

2.7.1. Measures of portfolio greenhouse gas emissions

2.8. References

Chapter 3. Portfolio Construction with Climate Risk Measures

3.1. Introduction

3.2. Climate risk measures

3.2.1. Carbon footprint

3.2.2. Carbon transition pathway

3.2.3. Other metrics

3.3. Portfolio optimization

3.3.1. General framework

3.3.2. Portfolio decarbonization

3.3.3. Portfolio alignment

3.4. Conclusion

3.5. Appendices

3.5.1. Appendix 1: Scope 3 emissions

3.5.2. Appendix 2: Data

3.6. References

Chapter 4. Hedging Climate Risks: A Cross-asset Approach

4.1. Introduction

4.2. Factor-mimicking portfolios methodology

4.2.1. General FMP approach

4.2.2. Errors-in-variable estimates

4.3. Hedging climate risk factors

4.3.1. Setup

4.3.2. Climate textual risk factors data

4.3.3. Base assets data

4.3.4. In-sample hedging results

4.3.5. Out-of-sample hedging results

4.4. Conclusion

4.5. Appendices

4.5.1. Appendix 1: General FMP portfolio optimization program.

4.5.2. Appendix 2: Principal components instrumental variables FMP estimator

4.6. References

Chapter 5. A Framework for Achieving Net-Zero-Carbon Alpha Portfolios

5.1. Introduction

5.2. Carbon emission in the capital market

5.3. Passive approach to zero-carbon portfolios

5.4. Active approach to zero-carbon portfolios

5.4.1. Backward-looking data: carbon efficiency

5.4.2. Present-time data: "nowcasting" of environmental news

5.4.3. Forward-looking data: corporate climate alignment and adaptation plans

5.4.4. Case study: sustainable global equity strategy from PanAgora Asset Management

5.5. Carbon offsets

5.6. Conclusion

5.7. Appendix

5.8. References

Chapter 6. Active Paris-aligned Equity Investing

6.1. Introduction

6.2. Standards of Paris-aligned benchmarks

6.3. Climate-aware alpha drivers

6.3.1. Carbon resource efficiency

6.3.2. Green patents

6.3.3. Corporate target setting

6.4. Empirical results

6.4.1. Decarbonization pathway

6.4.2. Climate-aware alpha

6.4.3. Incorporating climate-aware alphas and decarbonization

6.4.4. Systematic active Paris-aligned strategies

6.5. Conclusion

6.6. Appendix: Paris-aligned equity strategy screens

6.7. References

Chapter 7. Green Alpha

7.1. Introduction

7.2. Research methodology

7.2.1. Region classification

7.2.2. ESG-specific industry classification

7.2.3. Common style factors

7.2.4. Backtesting methodology

7.3. MSCI ESG rating

7.3.1. MSCI ESG data

7.3.2. Data coverage and average rating

7.3.3. An overview of MSCI ESG rating methodology

7.3.4. ESG pillars, themes and key issues

7.4. Characteristics of ESG - a factor perspective

7.4.1. The basics

7.4.2. Difference across sectors

7.4.3. Factor exposure

7.5. ESG as stock-selection factors.

7.5.1. Aggregated ESG rating and the three pillars

7.5.2. Revenue, country and industry adjustment

7.5.3. Other adjustment

7.5.4. ESG momentum

7.5.5. Performance of aggregate ESG and three pillar scores

7.6. Environmental factors

7.6.1. Zooming into clean technology

7.6.2. Carbon emissions along the supply chain

7.7. ESG signals are additive to traditional stock-selection factors

7.7.1. Performance comparison with traditional stock-selection factors

7.7.2. Correlation with traditional factors

7.7.3. The diversification benefit offered by ESG factors

7.8. Conclusion

7.9. References

Chapter 8. Enhancing Environment-driven Portfolios with Traditional Factors

8.1. Introduction

8.2. Framework

8.2.1. ESG overlays: the classic overlay

8.2.2. The factor embedding - the factor overlay

8.3. Empirical tests

8.3.1. Data and protocol

8.3.2. Baseline results

8.3.3. Statistical significance

8.3.4. Sector exposure

8.3.5. Transfer coefficients

8.4. Robustness checks

8.4.1. The sample size

8.4.2. A more passive benchmark

8.5. Conclusion

8.6. Appendix: Distribution of variables

8.7. References

Chapter 9. Enhancing the Accuracy of Firm Valuation with Multiples Using Carbon Emissions

9.1. Data

9.1.1. Carbon data

9.1.2. Financial data

9.2. Multiple construction methodology

9.2.1. Identifying and composing suitable peer group

9.2.2. Constructing and aggregating multiples

9.2.3. Determining firm valuation errors

9.3. Constructing new multiples using carbon data

9.4. Constructing peer groups using carbon data

9.5. Combining carbon emission multiples and carbon emission enhanced peer groups

9.6. Robustness

9.7. Recommendation for using carbon emissions for multiples and further research

9.8. References.

Chapter 10. Risk Management Challenges in Sustainability Themed Portfolios: An Application to GHG-constrained Portfolios

10.1. Introduction

10.2. Methodology

10.3. Data description

10.4. Results

10.5. Conclusion and implications

10.6. References

Chapter 11. Absolutely Sustainable Investing Across Asset Classes with Paris-aligned Benchmarks: An Application to AP2

11.1. Introduction

11.2. The climate benchmarks

11.2.1. Minimum benchmark requirements

11.2.2. Benchmark decarbonization and inflation adjustment

11.3. Absolutely sustainable investing

11.4. Case study: implementation of PAB at Andra AP-fonden

11.4.1. The Swedish pension system and the AP-funds

11.4.2. Development of sustainability integration and benchmarks at AP2

11.4.3. Implementing the EU Paris-aligned Benchmark at AP2

11.4.4. Specific aspects

11.4.5. Discussion

11.5. Conclusion

11.6. References

Chapter 12. Delegated Philanthropy in Mutual Fund Votes on Climate Change Externalities

12.1. Introduction

12.2. Sample, data sources, variables and descriptive statistics

12.2.1. Mutual fund votes

12.2.2. Mutual fund characteristics

12.2.3. Mutual fund holdings

12.2.4. Descriptive statistics

12.3. Empirical analysis

12.3.1. Impact of the percentage of SRI on the support for climate resolutions

12.3.2. Resolutions on other corporate externalities

12.3.3. Drivers of support for climate change resolutions

12.3.4. Robustness

12.4. Conclusion

12.5. Appendix: Classification of shareholder resolutions

12.6. References

Chapter 13. Creditworthiness and Buildings' Energy Efficiency in the Mortgage Market

13.1. Introduction

13.2. Portfolio analysis

13.2.1. Energy efficiency

13.2.2. Descriptive statistics

13.3. Methodology

13.3.1. Logit regression.

13.3.2. Cox proportional hazards model

13.4. Results

13.4.1. Estimates from the logit regression

13.4.2. Estimates from the Cox regression

13.4.3. Additional findings

13.5. Conclusion

13.6. Appendix

13.7. References

Chapter 14. The Thesis for Green Investing and Other ESG through the Looking Glass of China and the US

14.1. Introduction

14.2. Who and what does Green investing impact?

14.3. Who should set the Green investing agenda?

14.3.1. Should Green Initiatives be determined by elected civil servants or by rating services, investment funds and corporate CEOs?

14.3.2. The Milton Friedman take on who should drive ESG

14.3.3. American ESG in conflict with American democracy?

14.3.4. Who drives environmental protection policy and other ESG issues in China?

14.3.5. Good intentions but bad skills?

14.4. Earning a Green alpha?!

14.5. Market efficiency and ESG

14.6. Conclusion

14.7. References

List of Authors

Index

EULA.

Notes:

Description based on print version record.

Other Format:

Print version: Jurczenko, Emmanuel Climate Investing

ISBN:

9781394192373

1394192371

9781394192359

1394192355

OCLC:

1356742291