The urgent shift towards a zero- or low-carbon economy to combat climate change has heightened interest in green financial instruments among investors. Although green financial assets have grown significantly in a decade, investing in green assets is speculated to be costlier than traditional assets. Against this backdrop, we analyse whether investing in green financial assets is costlier than investing in traditional assets. We employ a comprehensive methodology, encompassing risk-adjusted returns, tail risks, time-varying correlations, novel quantile volatility connectedness, and portfolio implication techniques to show that most green assets outperform non-green assets in terms of risk-adjusted returns. Likewise, the potential loss likelihood of investing in green assets is lower. Our time-varying correlation outcomes reveal a strong positive association between green assets and their traditional counterparts, with limited hedging opportunities. Further, quantile vector autoregression results suggest that total connectedness between the green assets and their non-green pairs is lower in the normal market than in the extreme markets. Green and non-green asset pairs are also reciprocal in spreading and absorbing volatility shocks across most market states. Finally, the portfolio implications reveal that most asset pairs have a higher hedging cost; however, allocating more than 90% of funds to green assets can provide significant hedging effectiveness. Overall, investing in green assets is not costlier than investing in non-green assets, but they may be marginally rewarded. Our empirical findings have crucial implications for investors, policymakers, and regulatory bodies.