Green-adjusted share prices: A comparison between standard investors and investors with green preferences
利用富时罗素绿色收入指数中企业的绿色收入因子，构建绿色调整股价，比较标准投资者与绿色偏好投资者的贝塔值，发现绿色偏好仅在特定时期暂时影响资产定价。
We employ the green revenue factors of firms, used in the computation of the FTSE Russell 1000 Green Revenues index to create corresponding green-adjusted share prices. We compute the firm betas, under both the standard and the green-adjusted share pricing. Our findings suggest that tilting of firm stock returns towards green finance could change temporarily asset pricing views. The Fama-French risk factors display very high correlations between the two settings. Nevertheless, there are some significant differences between standard and green-adjusted betas during periods associated with green activism and positive political decisions of financially supporting the global climate action. • Employ green revenues as measured by FTSE Russell. • Construct green revenues adjusted share prices. • Compare betas for green and standard investors. • Differences in asset pricing for green investors only temporary. • Fama-French factors for green versus standard highly correlated.