Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 27, 2022 erstellt
Beschreibung:
The carbon price of risk is commonly measured as the return spread between high and low carbon emitting firms. We show how this return spread is related to an original time-series factor: an emissions-weighted carbon factor. Two new methodologies are then introduced: one to decompose this return spread into a physical and a transition carbon factor and another one to decompose the returns on these new factors into a short-run and a long-run component. The transition factor captures the tangible and intangible effort made by firms to reduce their emissions, contribute to climate risk mitigation, and improve their impact on the environment. From the application of the new methodologies using a widely used dataset, three interesting results emerge: i) in the short-run, investors care about carbon risk and require a premium to hold high emitting firms; ii) in the long-run, investors dislike carbon emissions and do not reward low-emitting firms; iii) the tangible and intangible effort made by firms towards climate and environment beyond carbon emissions reduction is not rewarded. The last result implies that even if the contribution to low-carbon economy transition beyond carbon emissions reduction is pure greenwashing, investors do not reward it anyways