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Dissecting green returns
Journal of Financial Economics ( IF 8.238 ) Pub Date : 2022-08-12 , DOI: 10.1016/j.jfineco.2022.07.007
Ľuboš Pástor, Robert F. Stambaugh, Lucian A. Taylor

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.



中文翻译:

剖析绿色回报

绿色资产近年来取得了高回报。这一表现反映了环境问题出人意料的强劲增长,而不是高预期回报。随着“绿色”的扩大,德国绿色债券的表现优于收益率较高的非绿色债券,而随着气候担忧加剧,美国绿色股票的表现优于棕色。尽管表现出色,但我们估计绿色股票的预期回报低于棕色股票,这与理论一致。我们以两种方式估计预期回报:事前,使用隐含的资本成本;事后,使用消除气候问题和收益冲击的已实现回报。一个理论上的绿色因素解释了价值股近期表现不佳的大部分原因。

更新日期:2022-08-13
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