Climate change's impact on investor behavior is a scantly investigated area in finance. This paper examines the performance of socially responsible exchange trade funds (ETFs) concerning conventional ETFs, in response to climate change events. We proxy climate change signals with a list of natural disaster events that NASA scientists relate to climate change. We contribute to existing literature, by using a very extensive information set of ETF strategies, not influenced by rating agencies' subjective evaluation policies, and covering almost 90% of the universe of worldwide sustainability thematic-oriented ETFs. This sample allows us to identify the socially responsible investment behavior in response to unpredictable climate change shocks. Our identification strategy accounts for endogeneity concerns and relies on two-stage least square (2SLS) approach finding that responsible investors react to climate change events by purchasing socially responsible investments. The relationship between climate change signals and return of investment in themes linked to the development of sustainability is positive. Interestingly enough, the sign of this relationship is different, when we disentangle the empirical results according to the asset type, confirming that investors shift their investments from equity funds to bond funds when market sentiment worsens. Our results indicate that policymakers should increase the support of firms adopting environmentally conscious business practices, while managers should boost a sustainable business strategy.

中文翻译：

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气候变化冲击和社会责任投资

气候变化对投资者行为的影响是金融领域鲜有研究的领域。本文考察了社会责任交易所交易基金 (ETF) 在应对气候变化事件时与传统 ETF 相关的表现。我们用 NASA 科学家与气候变化相关的一系列自然灾害事件来代理气候变化信号。我们通过使用非常广泛的 ETF 策略信息集，不受评级机构主观评估政策的影响，并涵盖全球近 90% 的可持续发展主题 ETF 领域，为现有文献做出贡献。该样本使我们能够确定应对不可预测的气候变化冲击的社会责任投资行为。我们的识别策略考虑了内生性问题，并依赖于两阶段最小二乘 (2SLS) 方法发现负责任的投资者通过购买对社会负责的投资来应对气候变化事件。气候变化信号与可持续发展相关主题的投资回报之间的关系是积极的。有趣的是，这种关系的符号是不同的，当我们根据资产类型分解实证结果时，确认投资者在市场情绪恶化时将投资从股票基金转向债券基金。我们的结果表明，政策制定者应加大对采用具有环保意识的商业实践的公司的支持，而管理者应促进可持续的商业战略。