Climate policy uncertainty and the price dynamics of green and brown energy stocks

Elie Bouri, Najaf Iqbal and Tony Klein

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: Using the newly proposed textual-based climate policy uncertainty index of Gavriilidis (2021), we provide the first empirical evidence that climate policy uncertainty is a significant determinant of the performance of green energy stocks relative to brown energy stocks. The climate policy uncertainty effect is positive and driven by crisis periods. The findings highlight the predictive information of climate policy uncertainty for price dynamics of green and brown energy equity and underline its influence on the preference of investors for green energy stocks, which matters for asset pricing, style rotation strategies, and asset allocation.

Keywords: Climate policy uncertainty; Green and brown energy stocks; Green equity; Crisis periods; Climate change (search for similar items in EconPapers)
JEL-codes: G10 G22 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (61)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000629

DOI: 10.1016/j.frl.2022.102740

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