How easy is it for investment managers to deploy their talent in green and brown stocks?

David Ardia, Keven Bluteau and Thien Duy Tran

Papers from arXiv.org

Abstract: We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt (2018). Focusing on S&P 500 index firms over 2014-2020 and defining peer groups in terms of firms' greenhouse gas emission levels, we find that, on average, about 20% of the stocks differentiate themselves from their peers in terms of future performance. We see a much higher time-variation in this opportunity set within brown stocks. Furthermore, the performance heterogeneity has decreased over time, especially for green stocks, implying that it is now more difficult for investment managers to deploy their skills when choosing among low-GHG intensity stocks.

Date: 2022-01, Revised 2023-04
New Economics Papers: this item is included in nep-ene, nep-env and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Finance Research Letters, Volume 48, August 2022, 102992

Downloads: (external link)
http://arxiv.org/pdf/2201.05709 Latest version (application/pdf)

Related works:
Journal Article: How easy is it for investment managers to deploy their talent in green and brown stocks? (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2201.05709

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().