Global S&T Development Trend Analysis Platform of Resources and Environment
DOI | 10.1016/j.ecolecon.2019.106571 |
Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement | |
Monasterolo, Irene1,3; de Angelis, Luca2 | |
2020-04-01 | |
发表期刊 | ECOLOGICAL ECONOMICS |
ISSN | 0921-8009 |
EISSN | 1873-6106 |
出版年 | 2020 |
卷号 | 170 |
文章类型 | Article |
语种 | 英语 |
国家 | Austria; Italy; USA |
英文摘要 | It is increasingly recognized that a transition to sustainable finance is crucial to scale up the low-carbon investments needed to achieve the global climate targets. A main barrier to portfolios' decarbonization is the lack of conclusive evidence on whether low-carbon investments add value to a portfolio, and on whether markets react to climate announcements by rewarding (penalizing) low-carbon (carbon-intensive) assets. To fill this gap, we develop an empirical analysis of the low-carbon and carbon-intensive indices for the EU, US and global stock markets. We test if financial markets are pricing the Paris Agreement (PA) by decreasing (increasing) the systematic risk and increasing (decreasing) the portfolio weights of low-carbon (carbon-intensive) indices afterwards. We find that after the PA the correlation among low-carbon and carbon-intensive indices drops. The overall systematic risk for the low-carbon indices decreases consistently, while stock markets' reaction is mild for most carbon-intensive indices. Moreover, the weight of the low-carbon indices within an optimal portfolio tends to increase after the PA. This evidence suggests that stock market investors have started to consider low-carbon assets as an appealing investment opportunity after the PA but have not penalized yet carbon-intensive assets. |
英文关键词 | Asset pricing Paris Agreement announcement Low-carbon indices Carbon-intensive indices Systematic risk Markowitz' s portfolio optimization Market model Fama-French five-factor model Risk-adjusted return Stranded assets |
领域 | 资源环境 |
收录类别 | SCI-E ; SSCI |
WOS记录号 | WOS:000514748400004 |
WOS关键词 | PRICES |
WOS类目 | Ecology ; Economics ; Environmental Sciences ; Environmental Studies |
WOS研究方向 | Environmental Sciences & Ecology ; Business & Economics |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/279015 |
专题 | 资源环境科学 |
作者单位 | 1.Vienna Univ Econ & Business, Inst Ecol Econ, Vienna, Austria; 2.Univ Bologna UNIBO, Dept Econ, Bologna, Italy; 3.Boston Univ, Frederick S Pardee Ctr Study Longer Range Future, Boston, MA 02215 USA |
推荐引用方式 GB/T 7714 | Monasterolo, Irene,de Angelis, Luca. Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement[J]. ECOLOGICAL ECONOMICS,2020,170. |
APA | Monasterolo, Irene,&de Angelis, Luca.(2020).Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement.ECOLOGICAL ECONOMICS,170. |
MLA | Monasterolo, Irene,et al."Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement".ECOLOGICAL ECONOMICS 170(2020). |
条目包含的文件 | 条目无相关文件。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论