Carbon premium in the European stock markets

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School of Business | Bachelor's thesis
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Date

2024

Department

Rahoituksen laitos

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Rahoitus

Language

en

Pages

18

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Abstract

I study whether there is a “carbon premium” demanded for the carbon emissions of a company present in the cross-sectional returns of the European stock markets in the period from January 2016 to December 2022. My study follows the research of Bolton & Kacperczyk (2021) in the US stock markets. I find a statistically significant carbon premium present with the level of emissions on scope 2 and scope 3 after controlling for well know return predictors such as size and book-to-market. I also find that there is a carbon premium with the growth rate of emissions. Unlike Bolton & Kacperczyk (2021) I find a carbon premium present with the emission intensities also.

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Thesis advisor

Kokkonen, Joni

Keywords

carbon premium, carbon emissions, climate change, cross-section of stock returns, Europe

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https://urn.fi/URN:NBN:fi:aalto-202405193458

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[kand] Kauppakorkeakoulu / BIZ