This paper examines market-based returns and risks of environmental vis-à-vis non environmental stocks from a portfolio selection point of view. The selection of environmental stocks is a function of greenhouse gas emissions of firms in S&P 500 for the period from 2005 to 2018. Our findings show that stocks with superior environmental performance have lower idiosyncratic risk, but higher systematic risk, while we also control for endogeneity issues. We show that that it pays to invest in environmental stocks. Robustness analysis, such as counterfactual regressions and panel VAR, confirms our main findings, though it demonstrates some of underlying complexities.

本文从投资组合选择的角度研究了环境股票相对于非环境股票的市场回报和风险。环境股票的选择是标准普尔 500 指数公司 2005 年至 2018 年温室气体排放量的函数。我们的研究结果表明，环境绩效优异的股票具有较低的异质风险，但较高的系统风险，同时我们还控制了内生性问题。我们表明，投资环境股票是值得的。稳健性分析，例如反事实回归和面板 VAR，证实了我们的主要发现，尽管它展示了一些潜在的复杂性。