Investors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond

We use the COVID-19 pandemic period in 2020 as an exogenous shock event to assess in how far climate risks measured by carbon exposure have entered and established themselves in the valuation of global stocks. In addition to descriptive analyses, we conduct cross-sectional panel regressions to asses...

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Autores principales:	Andrea Jacob, Martin Nerlinger
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	climate risk COVID-19 investment decisions equity returns Environmental effects of industries and plants TD194-195 Renewable energy sources TJ807-830 Environmental sciences GE1-350
Acceso en línea:	https://doaj.org/article/bf8bc82e1a804d3c93a23a2a70bc565c
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id	oai:doaj.org-article:bf8bc82e1a804d3c93a23a2a70bc565c
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spelling	oai:doaj.org-article:bf8bc82e1a804d3c93a23a2a70bc565c2021-11-11T19:47:16ZInvestors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond10.3390/su1321121822071-1050https://doaj.org/article/bf8bc82e1a804d3c93a23a2a70bc565c2021-11-01T00:00:00Zhttps://www.mdpi.com/2071-1050/13/21/12182https://doaj.org/toc/2071-1050We use the COVID-19 pandemic period in 2020 as an exogenous shock event to assess in how far climate risks measured by carbon exposure have entered and established themselves in the valuation of global stocks. In addition to descriptive analyses, we conduct cross-sectional panel regressions to assess the influence of carbon intensity levels on return and risk characteristics during and after the shock period. Furthermore, a difference-in-differences model setup allows us to infer whether these influences were significantly different when comparing pre-shock, shock, and post-shock periods. We find that carbon intensity affected returns significantly and negatively during a time of high uncertainty. In fact, high-emitting stocks suffered significantly more compared to the pre-crisis period. However, they could make up for their additional losses in the recovery period. In line with their high-risk exposure towards stranded assets and climate policy uncertainty, carbon-intensive stocks face higher risk levels in more stable economic times, thus justifying a carbon premium.Andrea JacobMartin NerlingerMDPI AGarticleclimate riskCOVID-19investment decisionsequity returnsEnvironmental effects of industries and plantsTD194-195Renewable energy sourcesTJ807-830Environmental sciencesGE1-350ENSustainability, Vol 13, Iss 12182, p 12182 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	climate risk COVID-19 investment decisions equity returns Environmental effects of industries and plants TD194-195 Renewable energy sources TJ807-830 Environmental sciences GE1-350
spellingShingle	climate risk COVID-19 investment decisions equity returns Environmental effects of industries and plants TD194-195 Renewable energy sources TJ807-830 Environmental sciences GE1-350 Andrea Jacob Martin Nerlinger Investors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond
description	We use the COVID-19 pandemic period in 2020 as an exogenous shock event to assess in how far climate risks measured by carbon exposure have entered and established themselves in the valuation of global stocks. In addition to descriptive analyses, we conduct cross-sectional panel regressions to assess the influence of carbon intensity levels on return and risk characteristics during and after the shock period. Furthermore, a difference-in-differences model setup allows us to infer whether these influences were significantly different when comparing pre-shock, shock, and post-shock periods. We find that carbon intensity affected returns significantly and negatively during a time of high uncertainty. In fact, high-emitting stocks suffered significantly more compared to the pre-crisis period. However, they could make up for their additional losses in the recovery period. In line with their high-risk exposure towards stranded assets and climate policy uncertainty, carbon-intensive stocks face higher risk levels in more stable economic times, thus justifying a carbon premium.
format	article
author	Andrea Jacob Martin Nerlinger
author_facet	Andrea Jacob Martin Nerlinger
author_sort	Andrea Jacob
title	Investors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond
title_short	Investors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond
title_full	Investors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond
title_fullStr	Investors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond
title_full_unstemmed	Investors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond
title_sort	investors’ delight? climate risk in stock valuation during covid-19 and beyond
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/bf8bc82e1a804d3c93a23a2a70bc565c
work_keys_str_mv	AT andreajacob investorsdelightclimateriskinstockvaluationduringcovid19andbeyond AT martinnerlinger investorsdelightclimateriskinstockvaluationduringcovid19andbeyond
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Investors’ Delight? Climate Risk in Stock Valuation during COVID-19 and Beyond

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