Journal of
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year 100
 

Forum | Papers » Stocks’ liquidity and Environmental Performance

Stocks’ liquidity and Environmental Performance

Gianmaria Bonagura, Luca D’Amico, Alessio Carmelo Iacopino, Lorenzo Prosperi, Lea Zicchino
June 2021 - n. 6
Keywords: Liquidity and asset pricing, Liquidity premium, Esg, Csr, Sri, Clustering Methods, K-Means Clustering
Jel codes: C38, G11, G12, G32, M14

There is a rapidly growing interest of investors towards sustainable/green/Esg assets but, while there are several papers that study the relationship between the environmental performance of a company and its financial returns, there is very limited evidence on whether green assets are also more liquid. In this paper, we provide some evidence on this issue based on a sample of European listed firms. In particular, we use the bid-ask spread and the Amihud Illiquidity ratio as a measure of stocks liquidity and four different measures of «greenness»: emission intensity, Refinitiv E-Score and two novel indicators, a score and a classification index of firms into green/non-green/brown based on the clustering approach proposed in Bonagura et al. (2020). Using a panel data model, we show that green firms are more liquid and this result is significant after controlling for relevant confounding factors. Our findings are robust to different measures of liquidity, environmental performance and across different model specifications.

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