Green revenues and stock returns: Cross-market evidence

Alexander Bassen, Hao Shu and Weiqiang Tan

Finance Research Letters, 2023, vol. 52, issue C

Abstract: This study provides cross-market evidence of the effects of green revenues (GRs) on stock returns. Using 9,367 firm-year observations across 23 different markets from 2016 to 2020, we find that firms with high proportions of GRs earn higher returns than those with low proportions of GRs. We also examine the effects of national culture on the risk–return characteristics of portfolios with high-GRs minus low-GRs. We find that higher positive abnormal returns can be earned in markets with national cultural values that are higher (lower) in harmony (mastery) and egalitarianism (hierarchy).

Keywords: Sustainable investment; Green revenues; Portfolio; Multi-factor asset pricing model; Stock returns (search for similar items in EconPapers)
JEL-codes: G11 G12 L25 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007267

DOI: 10.1016/j.frl.2022.103550

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