Quaye, Enoch, Tunaru, Elena Diana, Tunaru, Radu (2024) Green-adjusted share prices: a comparison between standard investors and investors with green preferences. Journal of Financial Stability, 74 . Article Number 101314. ISSN 1572-3089. E-ISSN 1878-0962. (doi:10.1016/j.jfs.2024.101314) (KAR id:106739)
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| Official URL: https://doi.org/10.1016/j.jfs.2024.101314 |
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Abstract
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.
| Item Type: | Article |
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| DOI/Identification number: | 10.1016/j.jfs.2024.101314 |
| Uncontrolled keywords: | CAPM; beta; green revenues; dynamic conditional correlation model |
| Subjects: |
H Social Sciences > HA Statistics > HA33 Management Science H Social Sciences > HG Finance |
| Divisions: | Divisions > Kent Business School - Division > Department of Accounting and Finance |
| Funders: | University of Kent (https://ror.org/00xkeyj56) |
| Depositing User: | Diana Tunaru |
| Date Deposited: | 30 Jul 2024 19:25 UTC |
| Last Modified: | 29 Jan 2025 03:42 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/106739 (The current URI for this page, for reference purposes) |
University of Kent Author Information
Tunaru, Elena Diana.
| Creator's ORCID: |
 https://orcid.org/0000-0002-8351-4458
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| CReDIT Contributor Roles: | Validation, Writing - original draft, Project administration, Visualisation, Writing - review and editing, Methodology, Investigation, Supervision |
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