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Dynamic market risk of green stocks across regions: Where does the devil lie? · Study

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ArticleDynamic market risk of green stocks across regions: Where does the devil lie?

Gagari Chakrabarti2021

Article2021

Dynamic market risk of green stocks across regions: Where does the devil lie?

Gagari Chakrabarti · Chitrakalpa Sen

24 citations·0/0 files stored·Journal of Cleaner Production

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Sustainable Finance and Green Bonds Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1993Common risk factors in the returns on stocks and bonds 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1997On Persistence in Mutual Fund Performance 1995Toward a New Conception of the Environment-Competitiveness Relationship 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]

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Year2021

Typearticle

Published2021-04-13

VenueJournal of Cleaner Production

ISSN-L0959-6526

Languageen

Citations24

Files0 public / 0

ShelfSustainable Finance and Green Bonds

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doi10.1016/j.jclepro.2021.127028

openalex_workW3155658325

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1997

Industry costs of equity

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