The growing demand in sustainable investment has fostered numerous changes in the financial industry. Divestment in carbon intensive industries and preference for Green assets should impact classical Asset Pricing models while the contagion effects from Brown to Green assets need to be carefully monitored. In this paper, we leverage Dynamic Factor Models to better quantify Climate-related Risk premium and develop a novel two-step procedure to estimate volatility spillovers between long-only portfolios. This new procedure allows to uncover the high persistence of Brown volatility innovations on Green volatility.