Acumain Center for Financial Research Publishes Research on Carbon Factor Construction

The Acumain Center for Financial Research published a research paper titled "Which Carbon Factor?" examining how different approaches to constructing carbon factors influence conclusions about carbon-related risk in equity markets. The study, co-authored with Professor Abraham Lioui of EDHEC Business School, provides a unified framework for comparing value-weighted and carbon-weighted methodologies commonly used in the academic literature. The research highlights how differences in weighting schemes, portfolio funding structures, and the treatment of firm characteristics such as size can lead to materially different empirical conclusions about the pricing of carbon risk. The paper contributes to ongoing research on incorporating climate-related information into systematic investment strategies and portfolio risk analysis. The research paper is available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4613025