Risk-return spectrum of investment for going green: Evidence from Indian equity market

Pabitra Debnath and Soumyananda Dinda ()

MPRA Paper from University Library of Munich, Germany

Abstract: This study investigates the risk-return spectrum of investment for going green and sustainability practice in India. This paper analyses three sustainability focused index from Indian equity market viz. S&P BSE GREENEX, S&P BSE CARBONEX and S&P BSE ESG 100. Statistical and financial rates, ratios and latest five-factor model of asset pricing are used for the said purpose. ESG 100 index turned out to be outperformer whereas the other two gave slightly less return than the market benchmark. Volatility is found to be similar to that of the market for all the indexes. Significant increment of wealth of green investors during and after the COVID-19 pandemic period is another notable finding of the study. Results of this paper indicate that investors are getting more return compared to market if they invest in stocks that perform well in sustainability criterion.

Keywords: Beta; CAGR; Carbon neutrality; Five-factor model; Jensen’s Alpha; Sustainability; Sharpe Ratio; Treynor Ratio; S&P BSE GREENEX; S&P BSE CARBONEX; S&P BSE ESG 100 (search for similar items in EconPapers)
JEL-codes: C20 G20 M14 M21 Q42 (search for similar items in EconPapers)
Date: 2022-09, Revised 2023-01
New Economics Papers: this item is included in nep-cfn, nep-env and nep-fmk
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Published in Business Strategy and Development 4.6(2023): pp. 817-827

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