Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market

Tong Fang, Zhi Su and Libo Yin ()
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Tong Fang: Shandong University
Zhi Su: Central University of Finance and Economics
Libo Yin: Central University of Finance and Economics

Empirical Economics, 2021, vol. 60, issue 5, No 1, 2155-2176

Abstract: Abstract We consider the role of the green inspiration effect in explaining the cross section of returns in the Chinese stock market. After constructing a new risk factor (the green risk factor), we empirically investigate the explanatory ability of this factor for the cross section of stock returns. We find that stocks of green industries have higher average returns, and the green risk factor significantly captures excess stock returns even after controlling for firm characteristic risk factors, institutional risks and economic factors. We also highlight in a subsample analysis that the explanatory power of the green risk factor improves after June 2008.

Keywords: Green inspiration; Asset pricing; Stock returns; Factor models; Subsample analysis (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00181-020-01843-1

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