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

  title={How easy is it for investment managers to deploy their talent in green and brown stocks?},
  author={David Ardia and Keven Bluteau and Thien Duy Tran},
  journal={Finance Research Letters},

Figures and Tables from this paper


Climate Change Concerns and the Performance of Green Versus Brown Stocks
We empirically test the prediction of Pastor, Stambaugh, and Taylor (2020) that green firms outperform brown firms when concerns about climate change increase unexpect- edly, using data for S&P 500
ESG Rating Disagreement and Stock Returns
Using environmental, social, and governance (ESG) ratings from seven different data providers for a sample of firms in the S&P 500 Index between 2010 and 2017, we studied the relationship between ESG
Dissecting Green Returns
Green assets delivered high returns in recent years. This performance reflects unexpectedly strong increases in environmental concerns, not high expected returns. German green bonds outperformed
Do Investors Care About Carbon Risk?
This paper explores whether carbon emissions affect the cross-section of U.S. stock returns. We find that stocks of firms with higher total CO2 emissions (and changes in emissions) earn higher
The Peer Performance Ratios of Hedge Funds
An essential component in the analysis of (hedge) fund returns is to measure its performance with respect to the group of peer funds. Through the analysis of risk-adjusted return percentiles an
A Five-Factor Asset Pricing Model
A five-factor model directed at capturing the size, value, profitability, and investment patterns in average stock returns performs better than the three-factor model of Fama and French (FF 1993).
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
Standard tests designed to identify mutual funds with non-zero alphas are problematic, in that they do not adequately account for the presence of lucky funds. Lucky funds have significant estimated
The Importance of Climate Risks for Institutional Investors
According to our survey about climate risk perceptions, institutional investors believe climate risks have financial implications for their portfolio firms and that these risks, particularly
An Evaluation of Alternative Multiple Testing Methods for Finance Applications*
The goal of the paper is to provide a menu that researchers can choose from to improve inference in financial economics and provide simulation evidence on the relative performance of different methods across a variety of testing environments.
An Evaluation of Alternative Multiple Testing Methods for Finance Applications
In almost every area of empirical finance, researchers are confronted with multiple tests. One high profile example is the identification of investment managers that outperform. Many beat their