The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices
| Autor: | ALESSI LUCIA, OSSOLA ELISA, PANZICA ROBERTO |
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| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Popis: | This study provides evidence on the existence of a negative Greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on European individual stock returns. We define a priced `greenness and transparency' factor based on companies' greenhouse gas emissions and the quality of their environmental disclosures. Based on this factor, we offer a tool to assess the exposure of a portfolio to the risk associated with the low-carbon transition, and hedge against it. We estimate that in a stressed scenario where greener and more transparent firms very much outperform brown stocks, there would be losses at the global level, including for European large banks, should investors fail to price climate-transition risks. These results call for the introduction of climate stress tests for systemically important financial institutions. JRC.B.1-Finance and Economy |
| Databáze: | OpenAIRE |
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