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We present a model of investing based on environmental, social, and governance (ESG) criteria. In equilibrium, green assets have negative CAPM alphas, whereas brown assets have positive alphas. Green assets' negative alphas stem from investors' preference for green holdings and from green...
Persistent link: https://www.econbiz.de/10012838938
We model investing that considers environmental, social, and governance (ESG) criteria. In equilibrium, green assets have low expected returns because investors enjoy holding them and because green assets hedge climate risk. Green assets nevertheless outperform when positive shocks hit the ESG...
Persistent link: https://www.econbiz.de/10012857813
Persistent link: https://www.econbiz.de/10012545907
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 "greenium" widened, and U.S. green stocks outperformed...
Persistent link: https://www.econbiz.de/10012585424
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 ``greenium'' widened, and U.S. green stocks outperformed...
Persistent link: https://www.econbiz.de/10013222853
Persistent link: https://www.econbiz.de/10013259951
We present a model of investing based on environmental, social, and governance (ESG) criteria. In equilibrium, green assets have negative CAPM alphas, whereas brown assets have positive alphas. Green assets' negative alphas stem from investors' preference for green holdings and from green...
Persistent link: https://www.econbiz.de/10012480493
Persistent link: https://www.econbiz.de/10012319444
Persistent link: https://www.econbiz.de/10012171830
We model investing that considers environmental, social, and governance (ESG) criteria. In equilibrium, green assets have low expected returns because investors enjoy holding them and because green assets hedge climate risk. Green assets nevertheless outperform when positive shocks hit the ESG...
Persistent link: https://www.econbiz.de/10012846386