The relation between environmental awareness and stock returns

被引：0

作者：

Horn, Matthias ^{[1
]}

Oehler, Andreas ^{[1
]}

Dabbous, Amal ^{[2
]}

Croutzet, Alexandre ^{[3
]}

机构：

[1] Bamberg Univ, Kaerntenstr 7, D-96045 Bamberg, Germany

[2] St Joseph Univ Beirut, Beirut, Lebanon

[3] TELUQ Univ, Quebec City, PQ, Canada

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2025年 / 103卷

关键词：

Environmental awareness; ESG; Green finance; Sustainable finance; Climate change; LIQUIDITY RISK; CROSS-SECTION; EXPLAIN;

D O I：

10.1016/j.iref.2025.104383

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the green stock premium and assess if a measure of global environmental awareness can forecast the returns of stocks listed in the MSCI North America All Cap Index from 2010 to 2019. The E-pillar score of Sustainalytics' ESG rating is used as a proxy for companies' environmental risk. We find that stocks with a higher environmental risk show higher returns and alphas, on average. When environmental awareness among investors increases stock returns decrease, on average. However, stocks of more environmentally friendly companies suffer less during such periods. Therefore, stocks with lower environmental risk reduce the differences in returns and alphas or even show higher returns and alphas than stocks with higher environmental risk.

引用

页数：13