Cheng, Gong; Jondeau, Eric; Mojon, Benoît; Vayanos, Dimitri - 2024
, passive or active. Green investors track an index that progressively excludes the stocks of the brownest firms; passive … investors hold a value-weighted index of all stocks; and active investors hold a mean-variance efficient portfolio of all stocks … firms. These effects occur primarily upon the announcement of the green index's formation and continue during the exclusion …