IDEAS home Printed from https://ideas.repec.org/p/nbr/nberwo/32317.html
   My bibliography  Save this paper

The Impact of Green Investors on Stock Prices

Author

Listed:
  • Gong Cheng
  • Eric Jondeau
  • Benoit Mojon
  • Dimitri Vayanos

Abstract

We study the impact of green investors on stock prices in a dynamic equilibrium model where investors are green, passive or active. Green investors track an index that progressively excludes the stocks of the brownest firms; passive investors hold a value-weighted index of all stocks; and active investors hold a mean-variance efficient portfolio of all stocks. Contrary to the literature, we find large drops in the stock prices of the brownest firms and moderate increases for greener firms. These effects occur primarily upon the announcement of the green index's formation and continue during the exclusion phase. The announcement effects imply a first-mover advantage to early adopters of decarbonisation strategies.

Suggested Citation

  • Gong Cheng & Eric Jondeau & Benoit Mojon & Dimitri Vayanos, 2024. "The Impact of Green Investors on Stock Prices," NBER Working Papers 32317, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:32317
    Note: AP EEE
    as

    Download full text from publisher

    File URL: http://www.nber.org/papers/w32317.pdf
    Download Restriction: Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html. Free access is also available to older working papers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2022. "Asset Management Contracts and Equilibrium Prices," Journal of Political Economy, University of Chicago Press, vol. 130(12), pages 3146-3201.
    2. Philippe van der Beck & Coralie Jaunin, 2021. "The Equity Market Implications of the Retail Investment Boom," Swiss Finance Institute Research Paper Series 21-12, Swiss Finance Institute.
    3. Ariel K. H. Lui & Maggie C. M. Lee & Eric W. T. Ngai, 2022. "Impact of artificial intelligence investment on firm value," Annals of Operations Research, Springer, vol. 308(1), pages 373-388, January.
    4. Philippe van der Beck, 2021. "Flow-Driven ESG Returns," Swiss Finance Institute Research Paper Series 21-71, Swiss Finance Institute.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gormsen, Niels Joachim & Huber, Kilian & Oh, Sangmin S., 2024. "Climate capitalists," Working Paper Series 2990, European Central Bank.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Czarnitzki, Dirk & Fernández, Gastón P. & Rammer, Christian, 2023. "Artificial intelligence and firm-level productivity," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 188-205.
    2. Dimitri Vayanos & Paul Woolley, 2023. "Asset Management as Creator of Market Inefficiency," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 51(1), pages 1-11, March.
    3. Shiyang Huang & Xin Liu & Dong Lou & Christopher Polk, 2024. "The Booms and Busts of Beta Arbitrage," Management Science, INFORMS, vol. 70(8), pages 5367-5385, August.
    4. Stylianos Xanthopoulos, 2024. "Martingale Pricing and Single Index Models: Unified Approach with Esscher and Minimal Relative Entropy Measures," JRFM, MDPI, vol. 17(10), pages 1-15, October.
    5. Cresswell, Kathrin & Rigby, Michael & Magrabi, Farah & Scott, Philip & Brender, Jytte & Craven, Catherine K. & Wong, Zoie Shui-Yee & Kukhareva, Polina & Ammenwerth, Elske & Georgiou, Andrew & Medlock,, 2023. "The need to strengthen the evaluation of the impact of Artificial Intelligence-based decision support systems on healthcare provision," Health Policy, Elsevier, vol. 136(C).
    6. Idan Hodor & Andrea Buffa, 2017. "Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices," 2017 Meeting Papers 374, Society for Economic Dynamics.
    7. Markus Ibert & Ron Kaniel & Stijn Van Nieuwerburgh & Roine Vestman, 2018. "Are Mutual Fund Managers Paid for Investment Skill?," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 715-772.
    8. Lívia Kelebercová & Michal Munk & František Forgáč, 2023. "Could You Understand Me? The Relationship among Method Complexity, Preprocessing Complexity, Interpretability, and Accuracy," Mathematics, MDPI, vol. 11(13), pages 1-15, June.
    9. Kashyap, Anil K & Kovrijnykh, Natalia & Li, Jian & Pavlova, Anna, 2021. "The benchmark inclusion subsidy," Journal of Financial Economics, Elsevier, vol. 142(2), pages 756-774.
    10. Kuvvet, Emre, 2022. "Robinhood investors and corporate misconduct," Global Finance Journal, Elsevier, vol. 54(C).
    11. Buffa, Andrea M. & Hodor, Idan, 2023. "Institutional investors, heterogeneous benchmarks and the comovement of asset prices," Journal of Financial Economics, Elsevier, vol. 147(2), pages 352-381.
    12. He, Xue-Zhong & Shi, Lei, 2017. "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 64-79.
    13. Alex R. Horenstein, 2017. "Betting Against Alpha," Working Papers 2017-13, University of Miami, Department of Economics.
    14. David Lagziel & Ehud Lehrer, 2021. "Transferable deposits as a screening mechanism," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(2), pages 483-504, March.
    15. Iñaki Aldasoro & Wenqian Huang & Nikola Tarashev, 2021. "Asset managers, market liquidity and bank regulation," BIS Working Papers 933, Bank for International Settlements.
    16. Cvitanić, Jakša & Xing, Hao, 2018. "Asset pricing under optimal contracts," Journal of Economic Theory, Elsevier, vol. 173(C), pages 142-180.
    17. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
    18. Naonobu Okazaki & Shotaro Usuzaki & Tsubasa Waki & Hyoga Kawagoe & Mirang Park & Hisaaki Yamaba & Kentaro Aburada, 2024. "Optimal Weighted Voting-Based Collaborated Malware Detection for Zero-Day Malware: A Case Study on VirusTotal and MalwareBazaar," Future Internet, MDPI, vol. 16(8), pages 1-16, July.
    19. Rui Albuquerque & Luís Cabral & José Guedes, 2019. "Incentive Pay and Systemic Risk," The Review of Financial Studies, Society for Financial Studies, vol. 32(11), pages 4304-4342.
    20. Yaliu Yang & Yuan Wang & Yingyan Zhang & Conghu Liu, 2022. "Data-Driven Coupling Coordination Development of Regional Innovation EROB Composite System: An Integrated Model Perspective," Mathematics, MDPI, vol. 10(13), pages 1-25, June.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:32317. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/nberrus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.