| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16260 |
| DP16260 Dissecting Green Returns | |
| Luboš Pástor; Robert F. Stambaugh; Lucian Taylor | |
| 发表日期 | 2022-06-13 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Green assets delivered high returns in recent years. This performance reflects unexpectedly 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, consistent 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 concerns and earnings. A theoretically motivated green factor explains much of value stocks' recent underperformance. |
| 主题 | Financial Economics |
| 关键词 | Sustainable investing Esg Green factor Greenium Green bonds |
| URL | https://cepr.org/publications/dp16260-2 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546434 |
| 推荐引用方式 GB/T 7714 | Luboš Pástor,Robert F. Stambaugh,Lucian Taylor. DP16260 Dissecting Green Returns. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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