When do investors go green? Evidence from a time-varying asset-pricing model

Arbeitspapier

This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia, where the greenium is associated to a priced 'greenness and transparency' factor, which considers both companies' greenhouse gas emissions and the quality of their environmental disclosures. We show that investors in the European equity market tend to accept lower returns, ceteris paribus, to hold greener and more transparent assets when the shift of the economy towards low-carbon becomes more credible. This happened after the Paris Agreement, the first Global Climate Strike and the announcement of the EU Green Deal. Signals going in the opposite direction, such as the US withdrawal from the Paris Agreement, increasing fossil fuel prices and more bad news about climate change, are associated with increases in the greenium.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: JRC Working Papers in Economics and Finance ; No. 2021/13

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Sustainable Development
• Thema: Climate risk ; environmental disclosure ; conditional factor models ; asset pricing

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Alessi, Lucia ; Ossola, Elisa ; Panzica, Roberto Calogero
• Ereignis: Veröffentlichung
• (wer): European Commission
• (wo): Ispra
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/250161
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ