Finance Economics and Econometrics Lab
Seminar Series
2022 - 2023
Speaker: Marie Brière (Amundi Asset Management).
Title: “Green Sentiment, Stock Returns, and Corporate Behavior”
joint with Stefano Ramelli (U St Gallen).
Date: Thursday, June 1st at 12h30 (Paris Time).
Abstract: In this paper, we propose a new method to estimate non-fundamental demand shocks for green financial assets based on the arbitrage activity of exchange-traded funds (ETFs). By estimating the monthly abnormal flows into environment-friendly ETFs, we construct a Green Sentiment Index that captures shifts in investors’ appetite for environmental responsibility that is not yet priced in the value of the underlying assets. Our measure of green sentiment differs significantly from the news-based climate indexes proposed by the extant literature, and it has additional explanatory power on both stock returns and corporate decisions. Over the period 2010-2020, shifts in green sentiment anticipate a persistent stock-price out-performance of more environmentally responsible firms, as well as an increase in their capital investments and cash holdings, particularly for more equity-dependent ones.
Here is, a link to the speaker’s and the FEELab website:
https://sites.google.com/view/feelabtbs/
You are cordially invited to participate in the following seminar of the FEELab, which will take place in Room 204, Bosco building.
For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr