Do ESG Investors care about carbon emissions? Evidence from securitized auto loans

44 Pages Posted: 14 Feb 2023 Last revised: 3 Jul 2023

See all articles by Christian Kontz

Christian Kontz

Stanford Graduate School of Business

Date Written: June 30, 2023

Abstract

Securitized auto loans present a clean empirical setting to measure preferences for green assets in price and quantity data. I document three puzzling facts: (i) Brown securities which finance high-emission loans have a 6.5% lower cost of capital. Mutual funds marketed as ESG (ii) hold positions across the full distribution of CO2 emissions and (iii) invest more in higher-emission deals compared to non-ESG funds. I attribute these findings in part to the use of ESG ratings of issuers instead of direct measures of emissions.

Keywords: Auto ABS, Climate Change, Climate Finance, Corporate Social Responsibility, Environment, ESG, Green bonds, Greenium, Sustainable investing, Responsible Investing, SRI, CSR

JEL Classification: G12, G18, G20, G41, Q56

Suggested Citation

Kontz, Christian, Do ESG Investors care about carbon emissions? Evidence from securitized auto loans (June 30, 2023). Available at SSRN: https://ssrn.com/abstract=4357312 or http://dx.doi.org/10.2139/ssrn.4357312

Christian Kontz (Contact Author)

Stanford Graduate School of Business ( email )

655 Knight Way
Stanford, 94305
United States

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