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

Alessi, Lucia; Ossola, Elisa; Panzica, Roberto Calogero - 2021

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...

Persistent link: https://www.econbiz.de/10012813579

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

Alessi, Lucia; Ossola, Elisa; Panzica, Roberto Calogero - In: International review of financial analysis 90 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014470361

Resilience in the EU banking sector and beyond

Alessi, Lucia; Di Girolamo, Francesca Erica; Petracco … - In: Banking resilience and global financial stability, (pp. 227-268). 2024

Persistent link: https://www.econbiz.de/10015070405

Inflation and inflation uncertainty in the euro area

Caporale, Guglielmo Maria; Paesani, Paolo; Onorante, Luca - 2010

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main...

Persistent link: https://www.econbiz.de/10011605275

Inflation and inflation uncertainty in the euro area

Caporale, Guglielmo Maria; Onorante, Luca; Paesani, Paolo - 2009

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in...

Persistent link: https://www.econbiz.de/10010271133