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Profits Are Forever: A Green Momentum Strategy Perspective

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Green Investing

Part of the book series: SpringerBriefs in Finance ((BRIEFSFINANCE))

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Abstract

This chapter attempts to examine the possibility of receiving consistently above-average returns for two “pure” (100 % green, 100 % gray) and three “hybrid” (25 % green, 50 % green, and 75 % green) portfolios. A popular tool of investment decision making has been momentum trading strategies. This chapter makes use of suitable momentum trading strategy to examine the investment-worthiness of the green, part green, and gray portfolios. The empirical analysis starts with an examination of long-term memory in the portfolio returns. Both graphical as well as statistical results suggest that only 100 % green and 100 % gray portfolios exhibit significant long-term memory. The study delves deeper and investigates the presence of any possible trading strategy in the portfolio returns. As the result suggests, only 100 % green and 100 % gray portfolio returns are characterized by a long run moving average-based trading strategy. Most importantly, the 100 % green portfolio leads to a higher return than the 100 % gray portfolio, reinforcing the investment-worthiness of green assets.

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Notes

  1. 1.

    Source http://www.finance-trading-times.com/2007/12/trading-strategies-short-term-filter.html.

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Authors and Affiliations

  1. Department of Economics, Presidency University, Kolkata, West Bengal, India

    Gagari Chakrabarti

  2. School of Management, BML Munjal University, Gurgaon, Haryana, India

    Chitrakalpa Sen

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  1. Gagari Chakrabarti
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  2. Chitrakalpa Sen
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Correspondence to Gagari Chakrabarti .

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Chakrabarti, G., Sen, C. (2015). Profits Are Forever: A Green Momentum Strategy Perspective. In: Green Investing. SpringerBriefs in Finance. Springer, New Delhi. https://doi.org/10.1007/978-81-322-2026-8_3

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