Abstract
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.
Originalsprog | Engelsk |
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Publikationsdato | 2020 |
Status | Udgivet - 2020 |
Begivenhed | Financial Management Association Virtual Conference 2020 - Varighed: 19 okt. 2020 → 23 okt. 2020 https://www.fma.org/virtual2020 |
Konference
Konference | Financial Management Association Virtual Conference 2020 |
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Periode | 19/10/2020 → 23/10/2020 |
Internetadresse |