气候变化领域集成服务门户(CCPortal): Dissecting green returns

CCPortal

DOI	10.1016/j.jfineco.2022.07.007
	Dissecting green returns
	Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
发表日期	2022
ISSN	0304-405X
起始页码	403
结束页码	424
卷号	146 期号:2
英文摘要	Green assets delivered high returns in recent years. This performance reflects unexpect-edly strong increases in environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the greenium widened, and U.S. green stocks outperformed brown as climate concerns strengthened. Despite that outperformance, we estimate lower expected returns for green stocks than for brown, con-sistent with theory. We estimate expected returns in two ways: ex ante, using implied costs of capital, and ex post, using realized returns purged of shocks from climate con-cerns and earnings. A theoretically motivated green factor explains much of value stocks' recent underperformance.(c) 2022 Elsevier B.V. All rights reserved.
英文关键词	Sustainable investing; ESG; Environment; Climate change; Green bonds
语种	英语
WOS研究方向	Business, Finance ; Economics
WOS类目	Social Science Citation Index (SSCI)
WOS记录号	WOS:000843826600003
来源期刊	JOURNAL OF FINANCIAL ECONOMICS
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/280522
作者单位	University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK; National Bank of Slovakia
推荐引用方式 GB/T 7714	Pastor, Lubos,Stambaugh, Robert F.,Taylor, Lucian A.. Dissecting green returns[J],2022,146(2).
APA	Pastor, Lubos,Stambaugh, Robert F.,&Taylor, Lucian A..(2022).Dissecting green returns.JOURNAL OF FINANCIAL ECONOMICS,146(2).
MLA	Pastor, Lubos,et al."Dissecting green returns".JOURNAL OF FINANCIAL ECONOMICS 146.2(2022).