Scholarlink

Purpose <p>This study attempts to determine whether Indian green stocks offer superior returns relative to the market expectations and to examine variations in Fama–French factors, liquidity factors, Jensen’s alpha, and the Sharpe ratio of green stocks. It also assesses the effects of these performance indicators on key events, notably the COVID-19 pandemic.</p> Methodology <p>The study adopts the Capital Asset Pricing Model adjusted for Fama–French factors and market liquidity. The paper employs the Asymmetric Dynamic Conditional Correlation—Generalised Autoregressive Conditional Heteroskedasticity (ADCC-GARCH) to identify the dynamic covariates used.</p> Findings <p>A structural break occurred on 21 September 2020, near the end of the first COVID-19 wave. Systematic risk exposures and liquidity interactions changed across regimes, while Jensen’s alpha remained insignificant, indicating no abnormal risk-adjusted performance. Market betas increased significantly after COVID-19, suggesting stronger market integration. Green stock illiquidity became more closely linked to market illiquidity, supporting liquidity-pricing effects and flight-to-liquidity behaviour during crisis-like events.</p> Originality value <p>This study contributes to the literature and practice by examining whether Indian green stocks earn premiums above market expectations and how major crises affect these premiums. It investigates the time-varying roles of Fama–French and liquidity factors in explaining green stock returns. While low investor awareness may constrain liquidity under normal conditions, crises can intensify liquidity pressures and increase the co-movement between green stock illiquidity and market illiquidity. By distinguishing between stable and crisis-period dynamics, the study provides deeper insights into green stock performance in emerging markets.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Investigating dynamic premium in Indian green stocks amid evolving Fama and French factors in tandem with dynamic liquidity considerations

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2026年8月4日

查看全文
  • Satya Krishna Sharma Raavinuthala,
  • Pratap Chandra Biswal,
  • Ramesh Bishetti,
  • Tilak Kumar Vaadapalli

摘要

Purpose

This study attempts to determine whether Indian green stocks offer superior returns relative to the market expectations and to examine variations in Fama–French factors, liquidity factors, Jensen’s alpha, and the Sharpe ratio of green stocks. It also assesses the effects of these performance indicators on key events, notably the COVID-19 pandemic.

Methodology

The study adopts the Capital Asset Pricing Model adjusted for Fama–French factors and market liquidity. The paper employs the Asymmetric Dynamic Conditional Correlation—Generalised Autoregressive Conditional Heteroskedasticity (ADCC-GARCH) to identify the dynamic covariates used.

Findings

A structural break occurred on 21 September 2020, near the end of the first COVID-19 wave. Systematic risk exposures and liquidity interactions changed across regimes, while Jensen’s alpha remained insignificant, indicating no abnormal risk-adjusted performance. Market betas increased significantly after COVID-19, suggesting stronger market integration. Green stock illiquidity became more closely linked to market illiquidity, supporting liquidity-pricing effects and flight-to-liquidity behaviour during crisis-like events.

Originality value

This study contributes to the literature and practice by examining whether Indian green stocks earn premiums above market expectations and how major crises affect these premiums. It investigates the time-varying roles of Fama–French and liquidity factors in explaining green stock returns. While low investor awareness may constrain liquidity under normal conditions, crises can intensify liquidity pressures and increase the co-movement between green stock illiquidity and market illiquidity. By distinguishing between stable and crisis-period dynamics, the study provides deeper insights into green stock performance in emerging markets.