Proceedings of the International Research Conference on Resilience for Sustainability: Management Practices and Strategies for the Future (IRC 2025)

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Modelling energy-Integrated Equity Return via Multi-Factor Exposures in Indian stock market

Authors
C. P. M. Khadeeja Farhana1, *, P. Abdul Azees2
1Farook College (Autonomous), University of Calicut, Kozhikode, Kerala, India
2Farook College (Autonomous), University of Calicut, Kozhikode, Kerala, India
*Corresponding author. Email: farhanakhadeeja@farookcollege.ac.in
Corresponding Author
C. P. M. Khadeeja Farhana
Available Online 29 September 2025.
DOI
10.2991/978-94-6463-860-8_6How to use a DOI?
Keywords
Carhart Four Factor Model; greenhouse gas (GHG) emission; Sustainable Investment
Abstract

Whether asset pricing model able to evaluate greenhouse gas emission’s return? The authors extend the traditional Fama-French three -factor model by adding momentum to form the Carhart four-factor model-consisting of market, size, value, and momentum factors. Factor mimicking six portfolio is build by the combinations incorporating size with value, momentum, and greenhouse and greenhouse gas (GHG) emissions intensity. Inclusion of GHG emissions intensity slightly elevates the model’s R2 demonstrating that factoring in environmental metrics adds explanatory effectiveness power over the standard Carhart model. These results highlight the importance of integrating emissions data when evaluating sustainable investment performance.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the International Research Conference on Resilience for Sustainability: Management Practices and Strategies for the Future (IRC 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
29 September 2025
ISBN
978-94-6463-860-8
ISSN
2352-5428
DOI
10.2991/978-94-6463-860-8_6How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - C. P. M. Khadeeja Farhana
AU  - P. Abdul Azees
PY  - 2025
DA  - 2025/09/29
TI  - Modelling energy-Integrated Equity Return via Multi-Factor Exposures in Indian stock market
BT  - Proceedings of the International Research Conference on Resilience for Sustainability: Management Practices and Strategies for the Future (IRC 2025)
PB  - Atlantis Press
SP  - 60
EP  - 86
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-860-8_6
DO  - 10.2991/978-94-6463-860-8_6
ID  - Farhana2025
ER  -