Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 25, 2023 erstellt
Description:
Recent equilibrium models predict a negative expected return premium in green stocks due toa non-financial utility for green investors, the so-called Equity Greenium, and in consequencea separation of the capital market. We derive a modified pricing relationship for equity futuresas a first necessary condition for the Greenium to exist permanently and not to be exploited byarbitrageurs. As second necessary condition, we derive higher lending fees for green stocks. Ifthese derivations hold, the modified futures pricing relationship can be used to directly measurethe ex-ante Greenium from observable market prices for equity futures. Empirical tests usinga comprehensive sample of European single stock futures robustly confirm the existence of aconsistent but economically small Equity Greenium of up to –19 bps p.a