Modelling energy-Integrated Equity Return via Multi-Factor Exposures in Indian stock market

C. P. M. Khadeeja Farhana () and P. Abdul Azees
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C. P. M. Khadeeja Farhana: Farook College (Autonomous), University of Calicut
P. Abdul Azees: Farook College (Autonomous), University of Calicut

A chapter in Proceedings of the International Research Conference on Resilience for Sustainability: Management Practices and Strategies for the Future (IRC 2025), 2025, pp 60-86 from Springer

Abstract: Abstract Whether asset pricing model able to evaluate greenhouse gas emission’s return? The authors extend the traditional Fama-French three -factor model by adding momentum to form the Carhart four-factor model-consisting of market, size, value, and momentum factors. Factor mimicking six portfolio is build by the combinations incorporating size with value, momentum, and greenhouse and greenhouse gas (GHG) emissions intensity. Inclusion of GHG emissions intensity slightly elevates the model’s R2 demonstrating that factoring in environmental metrics adds explanatory effectiveness power over the standard Carhart model. These results highlight the importance of integrating emissions data when evaluating sustainable investment performance.

Keywords: Carhart Four Factor Model; greenhouse gas (GHG) emission; Sustainable Investment (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-860-8_6

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DOI: 10.2991/978-94-6463-860-8_6

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