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Portfolio climate risk and fund flow performance

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  • Li, Dong
  • Lu, Shuai

Abstract

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.

Suggested Citation

  • Li, Dong & Lu, Shuai, 2025. "Portfolio climate risk and fund flow performance," Finance Research Letters, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015514
    DOI: 10.1016/j.frl.2024.106522
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    References listed on IDEAS

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