Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/171548 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Economics Working Paper Series No. 09/105
Verlag: 
ETH Zurich, CER-ETH - Center of Economic Research, Zurich
Zusammenfassung: 
This paper examines the relationship between corporate activities to address climate change and stock performance. By separately analyzing the US and European stock markets for different sub-periods, we highlight the impact of the underlying climate policy regime. Methodologically, we compare risk-adjusted returns of stock portfolios comprising corporations that differ in their responses to climate change. In this respect, we apply the flexible Carhart fourfactor model besides the restricted one-factor model based on the Capital Asset Pricing Model (CAPM). While our portfolio analysis shows negative relationships over the entire observation period from 2001 to 2006, we find that a trading strategy, which bought stocks of corporations with a higher level of responses to climate change and sold stocks of corporations with a lower level, led to negative abnormal returns in regions and periods with less ambitious climate policy, but to positive abnormal returns in regions and periods with stringent climate policy.
Schlagwörter: 
Climate change
Climate policy
Corporate environmental performance
Financial performance
Portfolio analysis
Asset pricing models
JEL: 
Q54
Q48
M14
G11
G12
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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