Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/273853 
Year of Publication: 
2023
Series/Report no.: 
Tinbergen Institute Discussion Paper No. TI 2023-042/IV
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
We assess whether climate transition risk is priced in Europe's equity market by analysing relative equity returns of high versus low CO2-emitting firms. We use a panel data set covering firm-specific carbon emissions of 1,555 European companies over the period 2005-2019. We add to the existing literature by addressing problems in carbon data and by using various econometric methods ranging from panel data analysis to the SCM. Fama-French style panel regressions at both the individual firm level as well as portfolio level suggest that carbon intensity is negatively related to stock returns. Treatment effect models, however, provide some evidence for increased pricing of climate transition risk after the Paris Agreement.
Subjects: 
Climate Change
Carbon Emissions Intensity
Paris Agreement
Transition Risk Premia.
JEL: 
G12
Q54
Document Type: 
Working Paper

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