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

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2024-07-27 DOI:10.1016/j.jfs.2024.101314

Enoch Quaye , Diana Tunaru , Radu Tunaru

引用次数: 0

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.

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绿色调整股价：标准投资者与绿色偏好投资者之间的比较

我们采用计算富时罗素 1000 绿色收入指数时使用的企业绿色收入系数来创建相应的绿色调整股价。我们计算了标准股价和绿色调整股价下的公司 Betas。我们的研究结果表明，公司股票收益向绿色金融倾斜可能会改变暂时的资产定价观点。法玛-法式风险因子在两种情况下显示出很高的相关性。然而，在与绿色行动主义和在财政上支持全球气候行动的积极政治决策相关的时期，标准和绿色调整赌注之间存在一些显著差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.