The Impact of Green Investors on Stock Prices

Gong Cheng, Eric Jondeau, Benoit Mojon and Dimitri Vayanos

No 32317, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We study the impact of green investors on stock prices in a dynamic equilibrium model where investors are green, passive or active. Green investors track an index that progressively excludes the stocks of the brownest firms; passive investors hold a value-weighted index of all stocks; and active investors hold a mean-variance efficient portfolio of all stocks. Contrary to the literature, we find large drops in the stock prices of the brownest firms and moderate increases for greener firms. These effects occur primarily upon the announcement of the green index's formation and continue during the exclusion phase. The announcement effects imply a first-mover advantage to early adopters of decarbonisation strategies.

JEL-codes: G12 G23 Q54 (search for similar items in EconPapers)
Date: 2024-04
New Economics Papers: this item is included in nep-ene, nep-env, nep-fdg and nep-fmk
Note: AP EEE
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Working Paper: The Impact of Green Investors on Stock Prices (2024)
Working Paper: The impact of green investors on stock prices (2023)
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