Abstract
How carbon risk exposure affects fund vulnerability is an important and unexplored topic. On this basis, I explore the impact of the carbon risk exposure of funds on their vulnerability. I find that funds with higher carbon risk exposure are more vulnerable. I further investigate the mechanism by which the carbon risk exposure of funds affects their vulnerability and verify the fund flow correlation and fund portfolio liquidity channels. I find that the increase in the carbon risk exposure of funds increases flow correlation and reduces portfolio liquidity, thereby increasing their vulnerability. The heterogeneity analysis results also highlight the greater impact of carbon risk exposure on the vulnerability of funds with poor social responsibility performance and higher portfolio concentration.G11; G12; G23
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