We explore the factor exposure heterogeneity in green and brown stocks using the peer-exposure ratio. By creating peer groups of S&P 500 index firms over 2014-2020 based on their greenhouse gas emission levels, we find that, on average, the largest factor exposure heterogeneities are observed for the value factor in green stocks and the momentum factor in brown stocks. Moreover, investing in brown stocks allows managers to distinguish themselves more in terms of factor exposure than green stocks, except in the value factor. Compared to earlier periods, investment managers now have more opportunities to differentiate themselves in their factor exposures.
Paru en février 2023 , 7 pages