気候リスクへの注意がアクティブ運用ファンドの超過収益に与える影響
The impact of climate risk attention on excess returns of actively managed funds (原題)
Kaisheng Yang, Ximan An
🤖 gxceed AI 要約
日本語
本研究は、中国のファンド年次報告書にWord2Vecベースのテキスト分析を適用し、気候リスク注意指標を構築。ブリンソンモデルで分解した結果、気候リスク注意は超過収益を高め、急性物理リスク注意の1%増加は超過収益を24.675%押し上げる一方、移行リスク注意の効果は2.746%と小さいことを示した。慢性物理リスクは有意でない。ファンドマネージャーへの実践的示唆を提供する。
English
This study constructs a climate risk attention indicator for Chinese funds using Word2Vec text analysis of annual reports. Applying the Brinson model, it finds that climate risk attention boosts excess returns, with a 1% increase in acute physical risk attention raising returns by 24.675%, while transition risk attention has a much smaller effect (2.746%). Chronic physical risks show no significant impact. The findings offer practical insights for fund managers and regulators.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本ではSSBJ開示が始まり、運用機関の気候リスク対応が投資家から問われる中、本研究成果はテキスト分析による気候リスク注意の定量化手法を示し、日本のファンド運用や開示実務に応用可能。特に急性物理リスクの重要性は、日本企業の気候関連財務影響評価にも示唆を与える。
In the global GX context
Globally, this paper contributes to climate finance by validating a machine-learning-constructed climate risk dictionary and providing empirical evidence from China, a major market. It underscores the differential impact of acute vs. transition risks on fund performance, which is relevant for asset managers and regulators under TCFD/ISSB frameworks, though the focus on annual reports may limit frequency insights.
👥 読者別の含意
🔬研究者:Provides a novel NLP-based climate risk attention measure and empirical evidence on its return impact, useful for extending climate finance research.
🏢実務担当者:Fund managers can prioritize acute physical and transition risks in climate strategies, as they significantly affect excess returns.
🏛政策担当者:Regulators may note the importance of acute physical risk disclosure and consider encouraging more frequent reporting to capture risk attention shifts.
📄 Abstract（原文）
This study constructs a climate risk attention indicator for Chinese funds by applying Word2Vec-based text analysis to annual fund reports. This study examines how climate risk attention affects excess returns in actively managed funds, using the Brinson model for performance decomposition. The results show that climate risk attention increases fund excess returns with notable heterogeneity: a 1% increase in acute physical risk attention raises excess returns by 24.675%, whereas the same increase in transition risk attention leads to a much smaller effect—only 2.746%, approximately 11% of the acute risk impact. Chronic physical risks, such as rising temperatures, do not significantly affect returns. These findings underscore the importance for fund managers to prioritize acute and transition risks, particularly acute physical risks, in climate-related investment strategies. This study extends the empirical experience in Chinese climate finance, validates a machine-learning-constructed climate risk dictionary, and provides practical insights for fund managers and regulators. A limitation is the reliance on annual reports, which may not capture real frequency shifts in risk attention.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.3846/jbem.2026.28069first seen 2026-09-07 04:43:39
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