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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Is There a ”Green Alpha”? An Empirical Analysis of Stock Returns and Greenhouse Gas Emissions |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2020 |
| Abstract Text | This portfolio analysis provides evidence on the risk-return characteristics of investment strategies that align with the transition toward a climate-resilient economy. Expanding the approach of In et al. (2019) to a global perspective, the firms of eight major stock indices were analyzed for the 2008-2019 period. Firms were assigned to portfolios by carbon efficiency, which is defined as revenue-adjusted CO2 equivalent emissions. The results indicate that an investment strategy of buying carbon-efficient firms and selling carbon-inefficient firms generates statistically significant alpha in some markets. Also, a long-only investment strategy of purchasing carbon-efficient stocks does not reduce risk-adjusted returns significantly. |
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