This paper investigates the concept of greenium, the premium investors are willing to pay for sustainable assets relative to conventional investments, with a focus on the European stock market. As sustainable finance gains prominence, understanding greenium's implications is crucial for both investors and policymakers. The study addresses the challenges of defining and estimating greenium, including varying perceptions of climate risk and the lack of standardized criteria for green assets. Through comprehensive empirical analysis, we evaluate the presence of greenium and its effects on investment strategies, highlighting how sustainability considerations shape asset valuation and investor behavior. The findings contribute to a deeper understanding of the interplay between sustainability and financial performance in today's investment landscape
