The E-axes Forum on Climate Change, Macroeconomics, and Finance

Eric Jondeau

“The Impact of Green Investors on Stock Prices”

Event description

From the Abstract: We study the impact of green investors on stock prices in a dynamic equilibrium model where investors are green, passive or active. Green investors track an index that progressively excludes the stocks of the brownest firms; passive investors hold a value-weighted index of all stocks; and active investors hold a mean-variance efficient portfolio of all stocks. Contrary to the literature, we find large drops in the stock prices of the brownest firms and moderate increases for greener firms. These effects occur primarily upon the announcement of the green index’s formation and continue during the exclusion phase. The announcement effects imply a first-mover advantage to early adopters of decarbonisation strategies.


Pierre Monnin

Eric Jondeau

Eric Jondeau is full professor of Finance at HEC Lausanne, University of Lausanne, and Swiss Finance Institute faculty member. He is the Director of the Center for Risk Management – Lausanne ( since 2012. He graduated from the French National School of Statistics and Economics (ENSAE, Paris) and holds a Ph.D. in Economics from the University of Paris-Dauphine. He is also fellow of the French Actuaries Institute. His main research interests are sustainable finance, systemic risks, financial econometrics, macrofinance models, and the modelling of asset prices.

Paper and slides

"The Impact of Green Investors on Stock Prices"

Green Indices Pricing



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