Halkos, George, and Anastasios Sepetis. "Can capital markets respond to environmental policy of firms? Evidence from Greece." Ecological Economics 63, 2007.

Explores the impact of changes in environmental policy at Greek companies on systematic risk (beta) for the 1998-2004 time period.

The authors construct a 'green' portfolio of 11 companies from different sectors "and which were certified in the Athens Stock Exchange Market (ASE)(mostly with ISO14000 or EMAS in the year 2001) for their environmental situation." Systematic risk is estimated using an Arbitrage Pricing Theory model to control for the influence of macro variables, most of which turned out to be statistically insignificant.

Finds that beta for most of the green companies fell during the period analyzed. Of the green companies with rising betas, all came from "low environmental risk sectors such as Food, Clothing and Textile."

The authors conclude that "this does not irrevocably prove that sustainability will finally increase the shareholder value. It simply means that capital markets consider the information related to future environmental expenses and that this news [can] lead to a short-term reduction of shareholder value."