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.

Presented at NYU Shanghai/SoFiE Summer School, USC Marshall, Harvard Climate Economics Pipeline Workshop, UChicago/MFR "Assessing the Economic and Environmental Consequences of Climate Change" Conference, German Economist Abroad Conference 2022