Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/313801 
Year of Publication: 
2024
Citation: 
[Journal:] Financial Review [ISSN:] 1540-6288 [Volume:] 60 [Issue:] 1 [Publisher:] Wiley [Year:] 2024 [Pages:] 13-32
Abstract: 
Abstract We study the effects of carbon transition risk on equity prices in the United States and Europe using disclosed carbon intensity data and find a negative effect on the cross section of returns and a negative carbon premium for the period 2009–2019. Examining fund flows, we find that institutional investors had an aversion to carbon‐intensive stocks, which could help explain the outperformance of green stocks. We find that after the Paris Agreement this negative carbon premium disappears, and expect a positive premium in the future. We apply an asset‐pricing approach to quantify the carbon risk exposure of any given asset.
Subjects: 
carbon emissions
carbon risk
climate change
equity returns
factor model
institutional investors
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version
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