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Are green asset prices efficient? Evidence from a seasonal anomalies approach

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  • Júlio Lobão

Abstract

Informational efficiency in green asset markets is vital to directing economic resources toward sustainable projects. This paper assesses the price efficiency of green bonds and stocks by examining seasonal anomalies in their returns. The study employs GARCH models on data spanning from September 2, 2010, to March 5, 2024. Anomalies studied include the day-of-the-week, the month-of-the-year, the turn-of-the-month, week 44, and Halloween effects. Results indicate that the green bond market is efficient, while the green stock market shows significant monthly anomalies and the week44 and Halloween effects, suggesting informational inefficiencies. These inefficiencies appear to be sensitive to the proxy used for analysis. These results imply that allocating economic resources to environmentally sustainable projects through the green stock market may not be optimal. Beyond its social implications, our findings provide valuable insights for various stakeholders in green finance, including investors, companies issuing green assets, regulators, and policymakers.

Suggested Citation

  • Júlio Lobão, 2025. "Are green asset prices efficient? Evidence from a seasonal anomalies approach," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 15(2), pages 342-364, April.
    • Handle: RePEc:taf:jsustf:v:15:y:2025:i:2:p:342-364
    DOI: 10.1080/20430795.2025.2479550
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