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Mutual funds' appetite for sustainability in European Auto ABS

Author

Listed:
  • Latino, Carmelo
  • Pelizzon, Loriana
  • Riedel, Max
  • Wang, Yue

Abstract

Using hand-collected data on European auto asset-backed securities (Auto ABS), we examine the role of mutual funds in financing the transition to zero-emission mobility. Mutual funds, particularly those with a green mandate, tend to have a higher exposure to sustainability-transparent Auto ABS and tend to allocate more capital to deals with a higher proportion of electric vehicles. However, we find no clear preference for portfolios with lower average CO2 emissions. This behaviour suggests that, in the absence of a globally recognized framework for green securitizations, asset managers rely on sustainability proxies that are associated with the lowest disclosure processing costs. Our analysis provides important new evidence on how standardized sustainability disclosures at both the prospectus and loan levels could influence asset allocation.

Suggested Citation

  • Latino, Carmelo & Pelizzon, Loriana & Riedel, Max & Wang, Yue, 2025. "Mutual funds' appetite for sustainability in European Auto ABS," SAFE Working Paper Series 448, Leibniz Institute for Financial Research SAFE.
  • Handle: RePEc:zbw:safewp:316445
    DOI: 10.2139/ssrn.5234973
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    References listed on IDEAS

    as
    1. Zerbib, Olivier David, 2019. "The effect of pro-environmental preferences on bond prices: Evidence from green bonds," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 39-60.
    2. Krahnen, Jan-Pieter & Wilde, Christian, 2022. "Skin-in-the-game in ABS transactions: A critical review of policy options," Journal of Financial Stability, Elsevier, vol. 60(C).
    3. Viral Acharya & Thomas Philippon & Matthew Richardson & Nouriel Roubini, 2009. "The Financial Crisis of 2007‐2009: Causes and Remedies," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 18(2), pages 89-137, May.
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    More about this item

    Keywords

    Auto ABS; Car Loans; Zero- or low-emission vehicles; Mutual funds; Securitization; Sustainable Finance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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