Pástor, Ľuboš; Stambaugh, Robert F.; Taylor, Lucian A. - National Bureau of Economic Research - 2021
a month. A theory-driven two-factor model featuring the green factor explains much of the recent underperformance of …Green assets delivered high returns in recent years. This performance reflects unexpectedly strong increases in … environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the …