Abstract:
We study whether green incentives work in Chinese securities market in term of green concept stocks with energy conservation and environmental protection technology. Based on the FF Three-Factor Model, we construct a Four-Factor Model by introducing a green factor. The empirical results show the green Four-Factor Model can explain the excess returns of green securities; relative to other stocks, risk premiums exist in green concept stock block, namely green incentive; However, China securities market has not yet distinguished efficiency levels of green technologies. Our conclusions would be meaningful for portfolio selection strategies in the new normal economy and imply Chinese securities market needs a more professional green rating system.
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