When do investors go green? Evidence from a time-varying asset-pricing model
利用个股回报数据，通过时变风险溢价模型研究绿色溢价（greenium）的演变，发现欧洲投资者在经济转向低碳更可信时（如巴黎协定后）接受更低回报并持有更绿色资产，而油价或关键矿产价格上涨则推高绿色溢价。
This study employs individual stock returns to examine the evolution of the greenium, which is the risk premium linked to firms’ carbon emissions and environmental transparency. We estimate an asset-pricing model with time-varying risk premia, in which the greenium is associated with a priced ‘greenness and transparency’ factor. We show that investors in the European equity market tend to accept lower returns, ceteris paribus, and hold greener and more transparent assets when economic shifts toward low carbon become more credible. This occurred after the Paris Agreement, the first global climate strike, and the announcement of the EU Green Deal. Opposite signals, such as increases in the prices of oil or critical minerals for the low-carbon transition, are associated with increases in the greenium; that is, more polluting firms are perceived as less risky.