Friday Seminar - "In Search of the True Greenium" - Markus Ibert (CBS)
Markus Ibert, Assistant Professor of Finance at Copenhagen Business School, will present his research at SSE main building (Room A720) on Friday, Oct 25 at 10:30 CET.
Starttid:
2024-10-25 at 10:30
Sluttid:
2024-10-25 at 11:45
Tidszon:
CET
Plats:
Room A720, SSE main building, entrance via Bertil Ohlins Gata 4
Abstract: The greenium (the expected return of green securities relative to brown) is a central impact measure for ESG investors. Replicating the literature’s wide range of equity greenium estimates based on realized returns, we find that these are not robust to changing the greenness measure or time period. Instead, we propose a robust green score combined with forward-looking expected returns, yielding a more precisely estimated annual equity greenium of -25 basis points per standard deviation increase in greenness. The greenium is more negative in greener countries and over time. Finally, we provide greeniums for corporate bonds, weighted-average costs of capital, and sovereign bonds.