Abstract:
Securitized auto loans present a unique setting to measure the effects of ESG investing. I find that the ESG convenience yield almost quadrupled from 0.12% in 2017 to 0.46% in 2022. Consumers financing vehicles with loans from captive lenders benefit from the ESG convenience yield through lower borrowing costs. ESG mutual funds allocate more capital to securitizations from issuers with high ESG scores even if the securitizations finance high-emissions vehicles. The focus on ESG scores, rather than CO2, lowers the cost of capital for high-emissions vehicles. The findings suggest that green premia affect real quantities but do not raise the cost of CO2 emissions.
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Invited Presentations:
FIRS Conference 2024 (main program),
OU-RFS Climate and Energy Conference 2024*,
AFA Meeting 2025*,
SITE New Research in Asset Pricing†,
GRASFI 2024 (main program),
SoFiE Conference 2024 (main program),
FMA Conference 2024* (main program),
CEPR-ESSEC-Luxembourg Conference on Sustainable Financial Intermediation (main program), Harvard Climate Economics Workshop, UChicago, UC Santa Cruz, USC Marshall PhD Conference, NYU Shanghai/SoFiE Summer School, MFR/IMSI "Assessing the Economic and Environmental Consequences of Climate Change" Conference, Inter-Finance PhD Seminar, GEA Winter Meeting 2022
(*scheduled, †declined/scheduling conflict)
(*scheduled, †declined/scheduling conflict)
Awards: FIRS Conference 2024 Prize for PhD Students,
GRASFI Conference 2024 Best PhD Paper Award,
Myron S. Scholes PhD Prize 2024