Dissecting green returns

• 成果类型: Article
• 署名作者: Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
• 署名单位: University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK; National Bank of Slovakia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.07.007
• 发表日期: 2022
• 页码: 403-424
• 关键词: Sustainable investing; ESG; environment; climate change; Green bonds

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.