Dissecting green returns

Abstract

NBER WORKING PAPER SERIES DISSECTING GREEN RETURNS Lubos Pastor Robert F. Stambaugh Lucian A. Taylor Working Paper 28940 http://www.nber.org/papers/w28940 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 June 2021, Revised June 2022 The views in this paper are the responsibility of the authors, not the institutions they are affiliated with. We are grateful for comments from Alex Edmans, Stefano Giglio, Mark Hulbert, Ralph Koijen, Stefan Nagel, Zacharias Sautner, Lee Seltzer, Kent Smetters, David Zerbib, Lu Zhang; conference participants at the 2022 AFA meetings, 2022 Jackson Hole Finance Conference, 2022 NBER Asset Pricing meeting, 2021 NBER Conference on Measuring and Reporting Corporate Carbon Footprints and Climate Risk Exposure, 2021 Australasian Banking and Finance Conference, 2021 Brazilian Finance Society Meeting, 2021 KPMG Annual M&A and Economic Forum, 2021 Q Group, 2021 QES Global Quant and Macro Investing Conference, 2022 Mayo Center/ICI Virtual Asset Management Symposium; and seminar participants at the Bank of Italy, Chinese University of Hong Kong, Drexel University, Erste Bank Asset Management, Georgetown University, Jacobs Levy Center webinar, London Business School, McGill University, Peking University, RCEA webinar, Southern Methodist University, University of Chicago, University of Colorado, University of Massachusetts at Amherst, University of Pennsylvania, University of South Carolina, University of Southern California, …

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