Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive …) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0 … many considerations, including different numbers of anomalies in the portfolios, subperiod analysis, as well as estimation …

regressions, were performed. There was some support for the explanation of green equity returns by market returns and market risk … (beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …-Factor and Fama-French Five-Factor Models. The most significant predictors of green equity returns were Value-at-Risk at a 95 …