Carbon Risk Premium and Worries about Climate Change

Caterina Santi; Angelo Moretti

doi:10.2139/ssrn.3942738

Carbon Risk Premium and Worries about Climate Change

Research output: Working paper › Preprint › Academic

Abstract

This paper sheds light on the impact of investor worries about climate change on the pricing of emission (carbon-intensive) and clean (low-emission) stocks. We estimate the carbon risk premium in a cross-section of over 4,800 firms in 21 countries. We do not find evidence of a carbon risk premium when investor worries about climate change are low. Moreover, the carbon premium is significant for medium-high quantiles of the return distribution when investors’ worries are high. Overall, our results are consistent with an interpretation that non-worried investors are not demanding compensation for their exposure to carbon emission risk.

Original language	English
Publisher	SSRN
Number of pages	39
DOIs	https://doi.org/10.2139/ssrn.3942738
Publication status	Published - 2023

Keywords

Public Attitudes
Climate Change
Climate Finance
Asset Pricing
Europe.

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10.2139/ssrn.3942738

SSRN-id3942738Submitted manuscript, 957 KB

Cite this

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Carbon Risk Premium and Worries about Climate Change

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