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Risk-return spectrum of investment for going green: Evidence from Indian equity market

Author

Listed:
  • Debnath, Pabitra
  • Dinda, Soumyananda

Abstract

This study investigates the risk-return spectrum of investment for going green and sustainability practice in India. This paper analyses three sustainability focused index from Indian equity market viz. S&P BSE GREENEX, S&P BSE CARBONEX and S&P BSE ESG 100. Statistical and financial rates, ratios and latest five-factor model of asset pricing are used for the said purpose. ESG 100 index turned out to be outperformer whereas the other two gave slightly less return than the market benchmark. Volatility is found to be similar to that of the market for all the indexes. Significant increment of wealth of green investors during and after the COVID-19 pandemic period is another notable finding of the study. Results of this paper indicate that investors are getting more return compared to market if they invest in stocks that perform well in sustainability criterion.

Suggested Citation

  • Debnath, Pabitra & Dinda, Soumyananda, 2022. "Risk-return spectrum of investment for going green: Evidence from Indian equity market," MPRA Paper 121116, University Library of Munich, Germany, revised Jan 2023.
    • Handle: RePEc:pra:mprapa:121116
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    File URL: https://mpra.ub.uni-muenchen.de/121116/1/MPRA_paper_121116.pdf
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    More about this item

    Keywords

    Beta; CAGR; Carbon neutrality; Five-factor model; Jensen’s Alpha; Sustainability; Sharpe Ratio; Treynor Ratio; S&P BSE GREENEX; S&P BSE CARBONEX; S&P BSE ESG 100;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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