Green revenues and stock returns: Cross-market evidence

•The study examines the relationship between green revenue and stock returns.•Firms with higher green revenue can earn positive stock returns.•The result is heterogeneous across markets with different national culture values.•The paper provides a new perspective from economic-output. This study prov...

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Bibliographic Details
Published in:Finance research letters 2023-03, Vol.52, p.103550, Article 103550
Main Authors: Bassen, Alexander, Shu, Hao, Tan, Weiqiang
Format: Article
Language:English
Subjects:
Green revenues
Multi-factor asset pricing model
Portfolio
Stock returns
Sustainable investment
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Summary:•The study examines the relationship between green revenue and stock returns.•Firms with higher green revenue can earn positive stock returns.•The result is heterogeneous across markets with different national culture values.•The paper provides a new perspective from economic-output. This study provides cross-market evidence of the effects of green revenues (GRs) on stock returns. Using 9,367 firm-year observations across 23 different markets from 2016 to 2020, we find that firms with high proportions of GRs earn higher returns than those with low proportions of GRs. We also examine the effects of national culture on the risk–return characteristics of portfolios with high-GRs minus low-GRs. We find that higher positive abnormal returns can be earned in markets with national cultural values that are higher (lower) in harmony (mastery) and egalitarianism (hierarchy).
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2022.103550