Our most recent GARG seminar presentation series was held on Friday 16 January 2026 at 11:00 am with a talk given by Professor Silvia Muzzioli, entitled ‘The greenium in the European equity market: evidence from portfolio sorting techniques’.
Co-authors:
- Professor Silvia Muzzioli, University of Modena and Reggio Emilia, Italy
- Dr Lorenzo Vitale, University of Modena and Reggio Emilia, Italy
Abstract:
This study explores the existence and evolution of the greenium in the European stock market from 2018 to 2023, based on EuroSTOXX 600 firms ranked annually by Refinitiv’s E-scores and ESG-scores. Equally and value-weighted portfolios are evaluated through Fama-French five-factor regressions. Findings reveal that the link between sustainability and abnormal returns is cyclical and shaped by macroeconomic conditions: a brownium dominates until 2020, while a marked greenium appears from 2021 onward, driven by growing regulatory and social focus on ESG issues and by external shocks such as the energy crisis, inflation, and the war in Ukraine. Performance gaps are not explained by firm size, indicating that sustainability premia stem from external rather than structural factors.