Green Value Investing in the Banking Sector: The Effectiveness of a Green F-Score Strategy in Poland as a CEE Case Study

The banking sector serves as a critical transmission belt for capital allocation toward renewable energy (RE) projects, yet traditional equity valuation models fail to capture banks' exposure to energy transition risks. To bridge this gap, this paper develops a novel fundamental-environmental indicator—the "Green F-Score"—tested on 10 major commercial banks listed on the Warsaw Stock Exchange (WSE) between 2023 and 2025. By synthesizing classical financial efficiency criteria with EU Taxonomy disclosures (Green Asset Ratio), the portfolio sorting methodology reveals how capital markets price sustainable energy financing in Central and Eastern Europe. The empirical results demonstrate that portfolios with high environmental-fundamental readiness ("Green Leaders") generate a superior mean annual return of 60.43% and a substantial price-to-book (P/B) premium. Conversely, banks lagging in RE financing suffer significant carbon risk discounts. Correlation analysis confirms a paradigm shift: the market premium is primarily driven by the ESG sub-score, rendering traditional financial metrics a mere operational hygiene factor. Consequently, the Green F-Score emerges as a robust tool for institutional investors, proving that accelerated lending to the energy transition effectively lowers the cost of equity capital for commercial banks.

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Publication Details

Journal
Preprints.org
Published
2026-11-02
DOI
https://doi.org/10.20944/preprints202611.0102.v1
Primary Topic
Sustainable Finance and Green Bonds
Type
preprint
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Green Value Investing in the Banking Sector: The Effectiveness of a Green F-Score Strategy in Poland as a CEE Case Study

Mateusz Muszyński, Krzysztof Podgórski
Preprints.org
Sustainable Finance and Green Bonds
preprint

Green Value Investing in the Banking Sector: The Effectiveness of a Green F-Score Strategy in Poland as a CEE Case Study

Mateusz Muszyński, Krzysztof Podgórski
preprint en

Abstract

The banking sector serves as a critical transmission belt for capital allocation toward renewable energy (RE) projects, yet traditional equity valuation models fail to capture banks' exposure to energy transition risks. To bridge this gap, this paper develops a novel fundamental-environmental indicator—the "Green F-Score"—tested on 10 major commercial banks listed on the Warsaw Stock Exchange (WSE) between 2023 and 2025. By synthesizing classical financial efficiency criteria with EU Taxonomy disclosures (Green Asset Ratio), the portfolio sorting methodology reveals how capital markets price sustainable energy financing in Central and Eastern Europe. The empirical results demonstrate that portfolios with high environmental-fundamental readiness ("Green Leaders") generate a superior mean annual return of 60.43% and a substantial price-to-book (P/B) premium. Conversely, banks lagging in RE financing suffer significant carbon risk discounts. Correlation analysis confirms a paradigm shift: the market premium is primarily driven by the ESG sub-score, rendering traditional financial metrics a mere operational hygiene factor. Consequently, the Green F-Score emerges as a robust tool for institutional investors, proving that accelerated lending to the energy transition effectively lowers the cost of equity capital for commercial banks.

Preprints.org
Sustainable Finance and Green Bonds
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Green Value Investing in the Banking Sector: The Effectiveness of a Green F-Score Strategy in Poland as a CEE Case Study — Mateusz Muszyński, Krzysztof Podgórski · Preprints.org (2026) | TGRS Research Map | TGRS