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

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. (In press) (KAR id:106739)

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https://doi.org/10.1016/j.jfs.2024.101314

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
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: 13 Aug 2024 08:16 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/106739 (The current URI for this page, for reference purposes)

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