Green and socially responsible investing in international markets

Kathrin Lesser (), Sebastian Lobe and Christian Walkshäusl
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Kathrin Lesser: Center of Finance, University of Regensburg

Journal of Asset Management, 2014, vol. 15, issue 5, No 4, 317-331

Abstract: Abstract From an international perspective, we find strong evidence that green investments are significantly different from SRI investments in terms of financial performance and underlying firm characteristics. Green equities outperformed SRI equities between 2003 and 2007, whereas they underperformed between 2008 and 2012 with absolute multi-factor alphas of more than 1 per cent per month in both directions. Green portfolios mainly contain stocks of low quality with weak business models that are highly capital-demanding but unprofitable, whereas SRI portfolios are principally characterized by stocks with well-conceived and profitable business models. We find that green investments can be considered as a sector bet on the renewable energy industry shaped by massive governmental subsidies during the mid-2000s.

Keywords: green investing; socially responsible investing; performance evaluation; international markets (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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DOI: 10.1057/jam.2014.31

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