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