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How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study

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  • Esparcia, Carlos
  • Diaz, Antonio
  • Alonso, Daniel

Abstract

This paper empirically studies the financial performance of energy asset allocation strategies under green and brown preferences. We assume that green investors and traditional or brown energy investors behave differently in their investment decisions. Thus, our optimal portfolio choice is developed in several steps for each energy investor profile and for each monthly rebalancing period. First, energy companies are screened based on Environmental (E) rating quartiles. We construct two categories formed via those companies rated above the first quartile, Q1, and below the third quartile, Q4. Second, for each category, a dynamic minimum variance (MV) problem is optimized based on univariate and multivariate GARCH models. Then, we assess the performance of the whole investment strategies posed. This paper contributes to the financial literature by providing evidence that not only does green investment help reduce the carbon footprint, but also that there is a risk-return spread between green and brown energy investment, adding value for the environmentally concerned investor.

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  • Esparcia, Carlos & Diaz, Antonio & Alonso, Daniel, 2023. "How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study," Energy Economics, Elsevier, vol. 128(C).
    • Handle: RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722
    DOI: 10.1016/j.eneco.2023.107174
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    More about this item

    Keywords

    Energy sector; Sustainability; Environmental ratings; Portfolio choice; Quartiles; ADCC GARCH;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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