Carbon Risk

71 Pages Posted: 10 Mar 2017 Last revised: 13 Jun 2018

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: March 12, 2018

Abstract

Using comprehensive information on CO2 emissions and environmental agenda of over 2,100 global firms we introduce a common capital market-based carbon risk factor. This factor is important as it captures firms’ sensitivity to the worldwide transformation to a green, low-carbon economy. We find a significant “green premium” for firms which are prepared for the transformation, respectively a “carbon penalty” for those who are not. Our factor significantly enhances the explanatory power of common factor models out-of-sample for global, US, European and Asian firms. It thus allows firms, investors and regulators to measure carbon risk without environmental information.

Keywords: Carbon risk, green finance, economic transformation, climate change, stock prices

JEL Classification: G12, G31

Suggested Citation

Görgen, Maximilian and Jacob, Andrea and Nerlinger, Martin and Riordan, Ryan and Rohleder, Martin and Wilkens, Marco, Carbon Risk (March 12, 2018). 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 (Contact Author)

University of Augsburg ( email )

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

Marco Wilkens

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
444
rank
57,639
Abstract Views
1,281
PlumX