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The Impact of Green Investors on Stock Prices / Gong Cheng, Eric Jondeau, Benoit Mojon, Dimitri Vayanos.
- Format:
- Book
- Author/Creator:
- Cheng, Gong.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w32317.
- NBER working paper series no. w32317
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2024.
- Summary:
- We study the impact of green investors on stock prices in a dynamic equilibrium model where investors are green, passive or active. Green investors track an index that progressively excludes the stocks of the brownest firms; passive investors hold a value-weighted index of all stocks; and active investors hold a mean-variance efficient portfolio of all stocks. Contrary to the literature, we find large drops in the stock prices of the brownest firms and moderate increases for greener firms. These effects occur primarily upon the announcement of the green index's formation and continue during the exclusion phase. The announcement effects imply a first-mover advantage to early adopters of decarbonisation strategies.
- Notes:
- April 2024.
- Print version record
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