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- W3166126945 abstract "I investigate how firms' environmental responsibilities affect expected stock returns. Using the environmental pillar score from the ASSET4 ESG dataset, I find that greener stocks have lower expected returns. This greenium remains significant after controlling for systemic and idiosyncratic risks. I explain the greenium through event studies showing that green stocks hedge physical climate-change risks. A macro-finance integrated assessment model (MFIAM) featuring time-varying climate damage intensity, recursive preferences, and investment frictions supports the empirical findings. The model implies that climate damages are pro-cyclical, leading to a high discount rate and a relatively low social cost of carbon." @default.
- W3166126945 created "2021-06-22" @default.
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- W3166126945 date "2021-01-01" @default.
- W3166126945 modified "2023-10-16" @default.
- W3166126945 title "Explaining Greenium in a Macro-Finance Integrated Assessment Model" @default.
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- W3166126945 doi "https://doi.org/10.2139/ssrn.3854432" @default.
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