Chia et al (2009)

Chia, Chin-Ping, Lisa R. Goldberg, David T. Owyong, Peter Shepard, and Tsvetan Stoyanov. “Is There a Green Factor?” Journal of Investing, Spring 2009.

From the conclusion: “In this article, we have presented our investigation of the unique risk and return characteristics of green stocks, including a study of renewable energy companies. Using the Barra Global Equity Model, or GEM2, we found that renewable energy firms are generally smaller and more volatile than the market on average, and have a negative value tilt. In addition, the impact of firm size, sector, style, and geographical distribution do not fully account for the superior performance of these firms. Finally, controlling for all GEM2 risk factors, we found that a statistically significant green factor seems to have emerged in recent years. These preliminary findings warrant further investigation of the risk and return characteristics of green portfolios.”

Link: https://jpm.pm-research.com/content/35/3/34