Carbon Neutrality Commitment Announcements and Subsequent Stock Returns

Michal Vyletelka

No 6.005, FFA Working Papers from Prague University of Economics and Business

Abstract: This paper investigates the reaction of the stock market to corporate carbon neutrality (CN) announcements using a global dataset of 887 earnings call disclosures between 2019 and 2024. Employing event-study style comparisons, industryadjusted returns, and Fama-French factor models, the analysis reveals that CN commitments have limited short-term effects, but are associated with statistically significant negative abnormal returns over a 12-month horizon. The results suggest that investors perceive carbon neutrality pledges as credible signals of future cost burdens rather than value-enhancing strategies. The findings also highlight sectoral and temporal heterogeneity: technology, energy and materials firms exhibit positive return premia, while utilities and real estate underperform; longer-dated CN commitments (post-2040) are priced more favorably than near-term commitments. Regional effects largely disappear once the sector composition is controlled, underscoring the primacy of industry dynamics in shaping market responses.

Keywords: Carbon neutrality; ESG disclosure; stock returns; event study (search for similar items in EconPapers)
Pages: 23 pages
Date: 2026-01-09, Revised 2026-08-24
New Economics Papers: this item is included in nep-min
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