Climate reputation risk and abnormal returns in the stock markets: a focus on large emitters

Gianni Guastella, Matteo Mazzarano, Stefano Pareglio and Anastasios Xepapadeas

No dipe0022, DISCE - Quaderni del Dipartimento di Politica Economica from Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE)

Abstract: Transition to a climate-neutral society is expected to generate disruptive changes and influence the investors and consumers’ perception. According to the Task Force on Climate-related Disclosures, firms that compose the polluting sectors might be vulnerable to reputation risk. In this work, we investigated the effect of climate-related announcements of listed companies on their equity performance. Focusing on the major historical greenhouse gas equivalents emitters, we studied the effect of companies’ climate-related social media activity on their daily abnormal returns in general and during climate-related events. Results suggest that climate-related announcements expose firms to abnormally negative returns. Sensitive external events and political rallies coincided with negative stock returns within investor’s expectations.

Keywords: Transition Risk; Reputation risk; Events Analysis; Text Analysis; Efficient Markets (search for similar items in EconPapers)
JEL-codes: G32 G41 Q54 (search for similar items in EconPapers)
Pages: 22
Date: 2021-11
New Economics Papers: this item is included in nep-ene and nep-env
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http://dipartimenti.unicatt.it/politica-economica-DIPE0022.pdf First version, 2021 (application/pdf)

Related works:
Journal Article: Climate reputation risk and abnormal returns in the stock markets: A focus on large emitters (2022)
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