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Does Carbon Risk Matter? Evidence of Carbon Premium in EU Energy-Intensive Companies
16 references·1 citing·34 second hopsampled
Does Carbon Risk Matter? Evidence of Carbon Premium in EU Energy-Intensive Companies (2021)Does Carbon Risk Matter? Evidence of Carb…THE IMPACT OF THE EU EMISSIONS TRADING SYSTEM ON COMPETITIVENESS AND CARBON LEAKAGE: THE ECONOMETRIC EVIDENCE (2020)THE IMPACT OF THE EU EMISSION…Global Pricing of Carbon-Transition Risk (2020)Global Pricing of Carbon-Tran…Environmental Policy Stringency, Technical Progress and Pollution Haven Hypothesis (2020)Environmental Policy Stringen…Corporate carbon performance data: Quo vadis? (2020)Corporate carbon performance …Do Investors Care about Carbon Risk? (2019)Do Investors Care about Carbo…Portfolio concentration and performance of institutional investors worldwide (2016)Portfolio concentration and p…Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context (2015)Does the carbon market help o…Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme (2015)Carbon emissions and stock re…A five-factor asset pricing model (2014)A five-factor asset pricing m…Firm-Value Effects of Carbon Emissions and Carbon Disclosures (2013)Firm-Value Effects of Carbon …Capital market response to emission rights returns: Evidence from the European power sector (2009)Capital market response to em…EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry (2008)EU Emission Allowances and th…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Carrot and the Stock: In Search of Stock-Market Incentives for Decarbonization (2022)The Carrot and the Stock: In …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Revisiting the relation between environmental performance and environmental disclosure: An empirical analysis (2007)Responding to public and private politics: corporate disclosure of climate change strategies (2009)Measuring the sustainability of investment funds: A critical review of methods and frameworks in sustainable finance (2021)Are Carbon Emissions Associated with Stock Returns? (2023)Carbon Returns across the Globe (2024)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Importance of Climate Risks for Institutional Investors (2019)Sustainable investing in equilibrium (2020)Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)PORTFOLIO SELECTION* (1952)Generalized autoregressive conditional heteroskedasticity (1986)A model of carbon price interactions with macroeconomic and energy dynamics (2011)Forecasting carbon futures volatility using GARCH models with energy volatilities (2013)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Limited-Dependent and Qualitative Variables in Econometrics (1983)Econometric Analysis of Cross Section and Panel Data (2001)Board Gender Diversity and Corporate Response to Sustainability Initiatives: Evidence from the Carbon Disclosure Project (2015)Carbon Tail Risk (2018)Multifactor Explanations of Asset Pricing Anomalies (1996)How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics (2020)Does sustainability generate better financial performance? review, meta-analysis, and propositions (2022)Dissecting climate risks: Are they reflected in stock prices? (2023)Editor's Choice Digesting Anomalies: An Investment ApproachDigesting Anomalies: An Investment Approach (2012)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2014A five-factor asset pricing model8,065 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2019Do Investors Care about Carbon Risk?3,593 cited
  • 2013Firm-Value Effects of Carbon Emissions and Carbon Disclosures1,702 cited
  • 2015Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme471 cited
  • 2020Corporate carbon performance data: Quo vadis?322 cited
  • 2008EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry279 cited
  • 2009Capital market response to emission rights returns: Evidence from the European power sector178 cited
  • 2016Portfolio concentration and performance of institutional investors worldwide177 cited
  • 2020THE IMPACT OF THE EU EMISSIONS TRADING SYSTEM ON COMPETITIVENESS AND CARBON LEAKAGE: THE ECONOMETRIC EVIDENCE142 cited
  • 2015Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context139 cited
  • 2020Environmental Policy Stringency, Technical Progress and Pollution Haven Hypothesis

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126 cited
  • 2020Global Pricing of Carbon-Transition Risk83 cited
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    • 2022The Carrot and the Stock: In Search of Stock-Market Incentives for Decarbonization16 cited