论文标题
投资经理将自己的才能部署在绿色和棕色股票中有多容易？
How easy is it for investment managers to deploy their talent in green and brown stocks?
论文作者
论文摘要
我们使用Ardia and Boudt（2018）的同伴性能比率（2018）探索了绿色和棕色股票宇宙中实现的α绩效异质性。专注于2014 - 2020年的标准普尔500指数公司，并根据公司的温室气体排放水平来定义同行群体，我们发现，在未来绩效方面，平均约有20％的股票与同行区分开。在棕色股票中，我们看到这种机会的时间变化要高得多。此外，随着时间的推移，性能异质性一直在下降，尤其是对于绿色股票而言，这意味着现在，投资经理在低GHG强度股票中选择自己的技能更加困难。
We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt (2018). Focusing on S&P 500 index firms over 2014-2020 and defining peer groups in terms of firms' greenhouse gas emission levels, we find that, on average, about 20% of the stocks differentiate themselves from their peers in terms of future performance. We see a much higher time-variation in this opportunity set within brown stocks. Furthermore, the performance heterogeneity has decreased over time, especially for green stocks, implying that it is now more difficult for investment managers to deploy their skills when choosing among low-GHG intensity stocks.
