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Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments
16 references·4 citing·46 second hop
Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments (2012)Valuing the carbon exposure of European u…State and Trends of the Carbon Market 2011 (2011)State and Trends of the Carbo…Price drivers and structural breaks in European carbon prices 2005–2007 (2008)Price drivers and structural …Modeling the price dynamics of CO2 emission allowances (2008)Modeling the price dynamics o…EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry (2008)EU Emission Allowances and th…Environmental risk management and the cost of capital (2008)Environmental risk management…Investment risks under uncertain climate change policy (2007)Investment risks under uncert…CO2 Prices, Energy and Weather (2007)CO2 Prices, Energy and WeatherCommon and fundamental factors in stock returns of Canadian oil and gas companies (2006)Common and fundamental factor…CO 2 cost pass-through and windfall profits in the power sector (2006)CO 2 cost pass-through and wi…The Equity Premium (2002)The Equity PremiumThe theory and practice of corporate finance: evidence from the field (2001)The theory and practice of co…Risk factors in stock returns of Canadian oil and gas companies (2001)Risk factors in stock returns…A Natural-Resource-Based View of the Firm (1995)A Natural-Resource-Based View…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Does the Carbon Emissions Trading Policy Increase Corporate Tax Avoidance? Evidence from China (2022)Does the Carbon Emissions Tra…A New Grey Relational Analysis Model Based on the Characteristic of Inscribed Core (IC-GRA) and Its Application on Seven-Pilot Carbon Trading Markets of China (2018)A New Grey Relational Analysi…The Impact of Liberalization and Environmental Policy on the Financial Returns of European Energy Utilities (2017)The Impact of Liberalization …Does EU emissions trading bite? An event study (2014)Does EU emissions trading bit…Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks (2003)Allowance price drivers in the first phase of the EU ETS (2009)Pricing Carbon: The European Union Emissions Trading Scheme (2010)Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Common risk factors in the returns on stocks and bonds (1993)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Firm Resources and Sustained Competitive Advantage (1991)Firm resources and sustained competitive advantage (2004)Firm-Value Effects of Carbon Emissions and Carbon Disclosures (2013)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)The Importance of Climate Risks for Institutional Investors (2019)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Does oil move equity prices? A global view (2007)Crude oil and stock markets: Stability, instability, and bubbles (2009)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)The Iron Cage Revisited: Institutional Isomorphism and Collective Rationality in Organizational Fields (1983)A RESOURCE-BASED PERSPECTIVE ON CORPORATE ENVIRONMENTAL PERFORMANCE AND PROFITABILITY. (1997)Is the Resource-Based "View" a Useful Perspective for Strategic Management Research? (2001)Corporate Social and Financial Performance: A Meta-Analysis (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)The equity premium: A puzzle (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predicting returns with financial ratios (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Dissecting green returns (2022)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Managing with Style: The Effect of Managers on Firm Policies (2003)Law, finance, and economic growth in China (2005)The economic implications of corporate financial reporting (2005)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme (2009)Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme (2015)Can environmental innovation facilitate carbon emissions reduction? Evidence from China (2016)
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References

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  • 2007Investment risks under uncertain climate change policy311 cited
  • 2008EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry

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Cited by

  • 2014Does EU emissions trading bite? An event study72 cited
  • 2018A New Grey Relational Analysis Model Based on the Characteristic of Inscribed Core (IC-GRA) and Its Application on Seven-Pilot Carbon Trading Markets of China36 cited
  • 2017The Impact of Liberalization and Environmental Policy on the Financial Returns of European Energy Utilities24 cited
  • 2022Does the Carbon Emissions Trading Policy Increase Corporate Tax Avoidance? Evidence from China17 cited