Abstract

With the gradual enhancement of environmental protection concepts in recent years and the continuous implementation of the sustainable development concept by the country, the green financial system in the financial field is thriving. Many banks and other financial institutions have become important driving forces for green financial innovation. The green financial system contains many elements, with green funds being an important component that plays a significant role in promoting green environmental concepts. Therefore, this study used data from 34 open-ended environmental concept funds from the fourth quarter of 2017 to the second quarter of 2024 as sample fund data. Based on the Fama-French Three-factor model and considering the current market situation, mixed regression and quantile regression were conducted after adding variables such as shareholding ratio and subscription ratio. The final conclusions drawn are as follows: The Fama-French Three-factor model has explanatory power for the returns of green funds; green funds tend to invest in small-cap growth stocks; the subscription behavior of funds has a positive impact on returns, while redemption behavior does not have a significant effect; the model's explanatory power at higher quantiles is stronger than at lower.