Abstract
We employ the green revenue factors of firms, used in the computation of the FTSE Russell 1000 Green Revenues index to create corresponding green-adjusted share prices. We compute the firm betas, under both the standard and the green-adjusted share pricing. Our findings suggest that tilting of firm stock returns towards green finance could change temporarily asset pricing views. The Fama-French risk factors display very high correlations between the two settings. Nevertheless, there are some significant differences between standard and green-adjusted betas during periods associated with green activism and positive political decisions of financially supporting the global climate action.
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