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)
PDF
Publisher pdf
Language: English
This work is licensed under a Creative Commons Attribution 4.0 International License.
|
|
Download this file (PDF/4MB) |
Preview |
Request a format suitable for use with assistive technology e.g. a screenreader | |
Microsoft Word
Author's Accepted Manuscript
Language: English Restricted to Repository staff only until 27 January 2026.
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
|
|
Contact us about this Publication
|
|
Official URL: 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) |
- Link to SensusAccess
- Export to:
- RefWorks
- EPrints3 XML
- BibTeX
- CSV
- Depositors only (login required):