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Testing green finance portfolio performance

Quaye, Enoch, Tunaru, Radu, Tunaru, Elena Diana (2025) Testing green finance portfolio performance. Journal of the Operational Research Society, . pp. 1-15. ISSN 0160-5682. (doi:10.1080/01605682.2025.2465895) (KAR id:108861)

Abstract

Green activities are measured with a green revenue adjustment factor that can be used to adjust observed market stock prices. We examine the green revenue factors for all companies that are part of the stock indexes representing the main five economies. Using multivariate correlation coefficients, we detect higher-order groupings of green indexes that may highly or lowly correlate. We employ the green revenues factor to construct portfolios that may benefit from the wedge between high green companies and low green companies, for all five economies. The quintile portfolios are compared across mean return, the CAPM beta, and realised beta. We also statistically test their comparative dollar performance using high-order stochastic dominance tests. The US portfolio has better dollar performance than the corresponding portfolios for the other economies, while the similar portfolio for Japan has the least dollar performance out of portfolios of all the other economies.

Item Type: Article
DOI/Identification number: 10.1080/01605682.2025.2465895
Uncontrolled keywords: Green revenues factors; investment appraisal; portfolio theory; stochastic dominance test; sustainability
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: 23 Feb 2025 11:39 UTC
Last Modified: 20 Mar 2025 10:32 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/108861 (The current URI for this page, for reference purposes)

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