Climate change exposure risk, reserves and stock returns of oil and gas companies

Diana Castro Herrera (), Juncal Cunado, Juan Equiza-Goñi and Fernando Perez de Gracia
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Diana Castro Herrera: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)
Juncal Cunado: UNAV - Universidad de Navarra [Pamplona]
Juan Equiza-Goñi: UNAV - Universidad de Navarra [Pamplona]
Fernando Perez de Gracia: Economics - Universidad de Navarra, UNAV - Universidad de Navarra [Pamplona]

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Abstract: This paper examines the joint effects of total proved reserves and climate change exposure on the stock returns of oil and gas companies with a particular focus on their interaction, using firm-level data from 2002 to 2022. Our findings reveal that climate change exposure has a significant positive effect on stock returns, suggesting the presence of a climate risk premium. We also find that the interaction between total proved reserves and exposure to climate regulatory shocks has a significant negative impact on stock returns, indicating that these reserves may be viewed as stranded assets. Finally, we detect that these effects are more pronounced after the Paris Agreement, which can be attributed to heightened levels of climate policy uncertainty following 2016.

Keywords: Rendements boursiers; Exposition au changement climatique; Réserves prouvées; Entreprises pétrolières et gazières (search for similar items in EconPapers)
Date: 2025-12
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Published in Journal of Commodity Markets, 2025, 40, pp.100524. ⟨10.1016/j.jcomm.2025.100524⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05493979

DOI: 10.1016/j.jcomm.2025.100524

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