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Green-adjusted share prices: A comparison between standard investors and investors with green preferences

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posted on 2024-08-01, 13:18 authored by Enoch Quaye, Diana Tunaru, Radu Tunaru

We employ the green revenue factors of firms, used in the computation of the FTSE Russell 1000 Green Revenues index to create corresponding green-adjusted share prices. We compute the firm betas, under both the standard and the green-adjusted share pricing. Our findings suggest that tilting of firm stock returns towards green finance could change temporarily asset pricing views. The Fama-French risk factors display very high correlations between the two settings. Nevertheless, there are some significant differences between standard and green-adjusted betas during periods associated with green activism and positive political decisions of financially supporting the global climate action.

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Publication status

  • Published

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  • Published version

Journal

Journal of Financial Stability

ISSN

1572-3089

Publisher

Elsevier BV

Volume

74

Article number

101314

Department affiliated with

  • Accounting and Finance Publications
  • Business and Management Publications

Institution

University of Sussex

Full text available

  • Yes

Peer reviewed?

  • Yes

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