Persistence of Green Asset Returns, Fossil Fuel Returns, and Climate Policy Uncertainty

Abstract

The study uses a novel approach to test for the persistence of green asset returns, fossil fuel returns, and climate policy uncertainty. We find evidence of persistence in the series when asymmetries are considered in our test. The fossil fuel returns and climate policy uncertainty have no effect on the persistence of sustainable green asset returns. Policies around climate policy uncertainty and green asset returns should be long term.

Nonlinear Effects of Climate Policy Uncertainty on Carbon Allowance and ESG Prices: Evidence From the US

“…However, the authors did not indicate whether changes in CPU cause asymmetric price changes. On the contrary, Akpa et al (2023) find that CPU does not affect the persistence of sustainable green asset returns. Wang and Li (2023) find that Chinese climate uncertainty significantly affects CSI 300 ESG volatility.…”