Corporate Responses to Climate Change and Financial Performance: The Impact of Climate Policy

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Economics Working Paper Series ; No. 09/105

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Climate; Natural Disasters and Their Management; Global Warming ; Energy: Government Policy ; Corporate Culture; Diversity; Social Responsibility ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Climate change ; Climate policy ; Corporate environmental performance ; Financial performance ; Portfolio analysis ; Asset pricing models ; Klimawandel ; Umweltpolitik ; Umweltmanagement ; Portfolio-Management ; CAPM ; Schweiz

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ziegler, Andreas ; Busch, Timo ; Hoffmann, Volker H.
• Ereignis: Veröffentlichung
• (wer): ETH Zurich, CER-ETH - Center of Economic Research
• (wo): Zurich
• (wann): 2009

Weitere Informationen

• DOI: doi:10.3929/ethz-a-005763992
• Handle: http://hdl.handle.net/10419/171548
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ