Sustainable investing in equilibrium
نویسندگان
چکیده
We model investing that considers environmental, social, and governance (ESG) criteria. In equilibrium, green assets have low expected returns because investors enjoy holding them hedge climate risk. Green nevertheless outperform when positive shocks hit the ESG factor, which captures shifts in customers’ tastes for products investors’ holdings. The factor market portfolio price a two-factor model. investment industry is largest preferences differ most. Sustainable produces social impact by making firms greener shifting real toward firms.
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2021
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2020.12.011