Carbon Risk

65 Pages Posted: 10 Mar 2017 Last revised: 1 Mar 2019

See all articles by Maximilian Görgen

Maximilian Görgen

University of Augsburg

Andrea Jacob

University of Augsburg

Martin Nerlinger

University of Augsburg

Ryan Riordan

Smith School of Business

Martin Rohleder

University of Augsburg

Marco Wilkens

University of Augsburg

Date Written: February 27, 2019

Abstract

The risks and opportunities arising from the transition process to a low-carbon economy affect firms’ business. We quantify this “carbon risk” via a “Brown-Minus-Green factor” derived from 1,600 firms with data from four major ESG databases. This factor allows estimating an applicable measure of carbon risk: “carbon beta”. We compute carbon betas for 39,000 firms and report them for countries and sectors. Firms can use carbon beta to understand their own carbon risk, regulators to gauge the impact of policy changes, and investors to directly manage carbon risk in their portfolios without hurting performance or preferences.

Keywords: Carbon risk, climate finance, climate change, economic transition, asset pricing

JEL Classification: G12, G15, Q51, Q54

Suggested Citation

Görgen, Maximilian and Jacob, Andrea and Nerlinger, Martin and Riordan, Ryan and Rohleder, Martin and Wilkens, Marco, Carbon Risk (February 27, 2019). Available at SSRN: https://ssrn.com/abstract=2930897 or http://dx.doi.org/10.2139/ssrn.2930897

Maximilian Görgen

University of Augsburg ( email )

Universitätsstr. 2
Augsburg, 86159
Germany

Andrea Jacob

University of Augsburg ( email )

Universitätsstr. 2
Augsburg, 86159
Germany

Martin Nerlinger

University of Augsburg ( email )

Universitätsstr. 2
Augsburg, 86159
Germany

Ryan Riordan

Smith School of Business ( email )

Smith School of Business, Queen's University
143 Union Street
Kingston, Ontario K7L 3N6
Canada

Martin Rohleder

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4120 (Phone)

Marco Wilkens (Contact Author)

University of Augsburg ( email )

Universitaetsstr. 16
Augsburg, 86159
Germany
+49 821 598 4124 (Phone)
+49 821 598 4223 (Fax)

HOME PAGE: http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

Register to save articles to
your library

Register

Paper statistics

Downloads
916
rank
23,916
Abstract Views
2,922
PlumX Metrics