Environmental sustainability

Green factor in financial markets

Time series of the graphs File XLSX: Opens in a new window (908 KB)

Source: Banco de España. Gimeno, R. and C. I. González (2022) File PDF: Opens in a new window (1 MB); Gimeno, R. and F. Sols (2020) File PDF: Opens in a new window (1 MB).

a. Gimeno, R. and C. I. González (2022) "The Role of a Green Factor in Stock Prices. When Fama & French go green". Banco de España Working Paper Nº 2207. The green factor is built as the return of a portfolio that maintains a long position in green assets and a short position in less green assets. Both sub-portfolios are formed by balancing 50 (60) companies of the S & P500 and Eurostoxx wide, with low and high carbon footprint, and controlling that the two have the same weight by sector and by size.

b. Gimeno, R. and F. Sols (2020) "Incorporating Sustainability Factors in Asset Management". Financial Stability Review, Fall 2020.The premium is computed as the average of the differences between the yield of green bonds and the yield that they should have according to the yield curve estimated with conventional bonds.