This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia, where the greenium is associated to a priced 'greenness and...

This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia, where the greenium is associated to a priced 'greenness and...

We estimate conditional multifactor models over a large cross-section of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (2015, HXZ) and Fama and French (2015, 2016, FF) models. The...

Purpose – This paper aims to examine the impact of the return differential between the domestic and foreign markets on the risk exposure of country mutual funds (CMFs). It is argued that when US market returns are higher than the foreign market returns, the returns chasing investors will tilt...