In this paper we develop a novel theory to explain why green stocks should underperform relative to conventional stocks. We assume that investors derive utility from the act of investing in green stocks – what we call “warm-glow” investment. We derive the theoretical implications of these preferences in a model that is an extension of the CCAPM. We estimate the model using the Generalized Method of Moments. Our estimates of the strength of the preference for warm-glow are statistically significant, but economically insignificant before the financial crisis. After the crisis they are both statistically and economically significant.
|Udgivet - 2020
|Financial Management Association Virtual Conference 2020 -
Varighed: 19 okt. 2020 → 23 okt. 2020
|Financial Management Association Virtual Conference 2020
|19/10/2020 → 23/10/2020