2156. Not all glitters but at least is green
Invited abstract in session MD-9: Green Investment on Capital Market, stream OR in Finance and Insurance .
Monday, 14:30-16:00Room: Clarendon SR 2.01
Authors (first author is the speaker)
| 1. | Rita D'Ecclesia
|
| Statistics, Sapienza University of Rome | |
| 2. | Kevyn Stefanelli
|
| Economic and Social Sciences, Sapienza |
Abstract
In this paper we use the FTSE Russell Green Revenues 2.0 data model, a quantitative, balance sheet-based metric aligned with the EU Taxonomy, together with other available sustainability metrics (ESG ratings) to identify social responsible investments and build High Green Revenue (GR) and Zero GR stock portfolios within the Climate Policy Relevant Sectors (CPRS) using data from 2013 to 2023. We aim to investigate the greenium analyzing the performance of High Green Revenues portfolio vs Zero Green revenues,building a Green Minus Brown (GMB) factor.
The results show that High GR portfolios outperform their brown counterparts only in some sub-periods, precisely during periods of market instability, but overall we do not find a preference of investors for sustainable investments. The greenium varies within each business sector, highlighting the need for sector-specific considerations.
The significant misalignment between GR-based and other widely used metrics stresses the necessity of a unified and trustworthy framework for classifying a sustainable investment.
Keywords
- Financial Modelling
- Environmental Management
- Risk Analysis and Management
Status: accepted
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