Horn, M., Oehler, A., 2025, Dabbous, A., Groutzet, A.,The relation between environmental awareness and stock returns, International Review of Economics and Finance 103,104383.

Abstract
We analyze the green stock premium and assess if a measure of global environmental awareness can forecast the returns of stocks listed in the MSCI North America All Cap Index from 2010 to 2019. The E-pillar score of Sustainalytics’ ESG rating is used as a proxy for companies’ environmental risk. We find that stocks with a higher environmental risk show higher returns and alphas, on average. When environmental awareness among investors increases stock returns  decrease, on average. However, stocks of more environmentally friendly companies suffer less
during such periods. Therefore, stocks with lower environmental risk reduce the differences in returns and alphas or even show higher returns and alphas than stocks with higher environmental risk.

Keywords

Environmental awareness; ESG; Green Finance; Sustainable Finance; Climate Change

JEL Classifications

G11, G12, G17, Q50, Q51

Auch:

Horn, M., Oehler, A., Dabbous, A., Croutzet, A., 2023, The Relation between Environmental Awareness and Stock Returns; Future Finance and Economics Association 2nd Conference on INternational Finance; Sustainable and Climate Finance and Growth, June 18-20; 1st Conference on Sustainable Banking & Finance 2023, June 18-20; Operations Research 2023, August 29 - September 1; Psychonomic Society 2023 Annual Meeting, November 16-19.

Dabbous, A., Horn, M., Croutzet, A. (2023), Measuring Environmental Awareness: An Analysis Using Google Search Data; Journal of Environmental Management 346, 118984.