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A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Green Investing and Sin Stock Exclusion

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  • Olivier David Zerbib

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

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  • Olivier David Zerbib, 2020. "A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Green Investing and Sin Stock Exclusion," Working Papers hal-02570021, HAL.
    • Handle: RePEc:hal:wpaper:hal-02570021
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    Cited by:

    1. David Blitz & Laurens Swinkels, 2021. "Who owns tobacco stocks?," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 311-325, September.
    2. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," JRC Working Papers in Economics and Finance 2021-13, Joint Research Centre, European Commission.
    3. Nektarios Gavrilakis & Christos Floros, 2024. "Volatility and Herding Bias on ESG Leaders’ Portfolios Performance," JRFM, MDPI, vol. 17(2), pages 1-22, February.
    4. Rohleder, Martin & Wilkens, Marco & Zink, Jonas, 2022. "The effects of mutual fund decarbonization on stock prices and carbon emissions," Journal of Banking & Finance, Elsevier, vol. 134(C).
    5. Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2023. "Short-run and long-run effects of ESG policies on value creation and the cost of equity of firms," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 599-616.
    6. Pedersen, Lasse Heje & Fitzgibbons, Shaun & Pomorski, Lukasz, 2021. "Responsible investing: The ESG-efficient frontier," Journal of Financial Economics, Elsevier, vol. 142(2), pages 572-597.
    7. Hakenes, Hendrik & Schliephake, Eva, 2022. "Responsible Investment and Responsible Consumption," VfS Annual Conference 2022 (Basel): Big Data in Economics 264004, Verein für Socialpolitik / German Economic Association.
    8. Ramelli, Stefano & Ossola, Elisa & Rancan, Michela, 2021. "Stock price effects of climate activism: Evidence from the first Global Climate Strike," Journal of Corporate Finance, Elsevier, vol. 69(C).
    9. Thomas Lagoarde-Segot, 2020. "Financing the Sustainable Development Goals," Sustainability, MDPI, vol. 12(7), pages 1-22, April.
    10. Arnaud Gougler & Sebastian Utz, 2020. "Factor exposures and diversification: Are sustainably screened portfolios any different?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 221-249, September.
    11. Olaf Stotz, 2021. "Expected and realized returns on stocks with high- and low-ESG exposure," Journal of Asset Management, Palgrave Macmillan, vol. 22(2), pages 133-150, March.
    12. Hendrik Hakenes & Eva Schliephake, 2021. "Responsible Investment and Responsible Consumption," ECONtribute Discussion Papers Series 134, University of Bonn and University of Cologne, Germany.
    13. OKIMOTO Tatsuyoshi & TAKAOKA Sumiko, 2022. "Credit Default Swaps and Corporate Carbon Emissions in Japan," Discussion papers 22098, Research Institute of Economy, Trade and Industry (RIETI).
    14. Luo, Di, 2022. "ESG, liquidity, and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    15. Lars Hornuf & Gül Yüksel, 2022. "The Performance of Socially Responsible Investments: A Meta-Analysis," CESifo Working Paper Series 9724, CESifo.
    16. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
    17. Riedler, Jesper & Koziol, Tina, 2021. "Scaling, unwinding and greening QE in a calibrated portfolio balance model," ZEW Discussion Papers 21-086, ZEW - Leibniz Centre for European Economic Research.
    18. Bing Yu & Shengxiong Wu & Mary Jane Lenard, 2022. "Do Ethical Companies Have High Stock Prices or High Returns?," JRFM, MDPI, vol. 15(2), pages 1-15, February.

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