| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28940 |
| 来源ID | Working Paper 28940 |
| Dissecting Green Returns | |
| Lubos Pastor; Robert F. Stambaugh; Lucian A. Taylor | |
| 发表日期 | 2021-06-21 |
| 出版年 | 2021 |
| 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 ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w28940 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586614 |
| 推荐引用方式 GB/T 7714 | Lubos Pastor,Robert F. Stambaugh,Lucian A. Taylor. Dissecting Green Returns. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28940.pdf（568KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
