The resilience of green stocks during COVID-19: a clustering approach
| Autor: | Prometeia, Alessio Iacopino, Giovanni Maria Bonagura, Laura D'Amico, Lea Zicchino, Lorenzo Prosperi |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
050208 finance
Coronavirus disease 2019 (COVID-19) business.industry sri 05 social sciences Environmental resource management General Engineering unsupervised learning sustainable investing covid-19 HD61 esg market crash 0502 economics and business clustering methods Risk in industry. Risk management Business 050207 economics kmeans clustering Cluster analysis Resilience (network) csr |
| Zdroj: | Risk Management Magazine, Vol 15, Iss 3, Pp 33-47 (2020) |
| ISSN: | 2724-2153 2612-3665 |
| Popis: | There is growing evidence that ESG investments have demonstrated higher resiliency to the COVID-19 pandemic shock. While the performance of mutual funds is largely documented, there is limited evidence on stocks, especially in the European market. In this paper we focus on the environmental dimension of firms and we identify a green cluster among listed companies in the EU using a comprehensive database of environmental information. We let the data speak: we identify three clusters of firms (green, non-green and brown) by using clustering techniques and we evaluate their financial performances (return, risk and liquidity) over the full sample period and around the COVID-19 Crisis. We find that green firms yielded a lower return than non-green firms, especially after the Paris Agreement. However, in March 2020, green firms performed better than the other clusters. We find evidence that the COVID-19 period is not a special case, since green firms perform generally better during market contractions. We then extend standard asset pricing models by including the Green Risk Factor, the difference between the green and brown portfolios’ returns and we find that the Factor is significant for a large fraction of firms suggesting that climate risk is priced in stocks. |
| Databáze: | OpenAIRE |
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