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Dissecting green returns
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DOI：10.1016/j.jfineco.2022.07.007.png)
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Abstract
En 中文
Green assets delivered high returns in recent years. This performance reflects unexpect-edly strong increases in environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the greenium widened, and U.S. green stocks outperformed brown as climate concerns strengthened. Despite that outperformance, we estimate lower expected returns for green stocks than for brown, con-sistent with theory. We estimate expected returns in two ways: ex ante, using implied costs of capital, and ex post, using realized returns purged of shocks from climate con-cerns and earnings. A theoretically motivated green factor explains much of value stocks' recent underperformance.(c) 2022 Elsevier B.V. All rights reserved.
Keywords:
Sustainable investing
ESG
Environment
Climate change
Green bonds
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