Working paper/research report

Authors list: Auzepy, Alix; Bofinger, Yannik; Rock, Björn; Bannier, Christina E.

Publication year: 2022

DOI Link: https://doi.org/10.2139/ssrn.4031824

Abstract: 

We examine the relationship between greenhouse gas (GHG) emissions and equity risks. We find that firms with higher levels of scope 1 and scope 2 GHG emissions are associated with higher equity risks. Our results hold for both size-adjusted and industry-adjusted emissions. In contrast, our results do not reveal any clear relationship between scope 3 GHG emissions and equity risks. We then examine the mandatory disclosure settings in the United Kingdom and France and find that the strength and significance of the relationship between GHG emissions and equity risks weakens when the disclosure of GHG emissions is mandated by law. Finally, we show that investors attribute lower equity risks to GHG reporting firms than to non-reporting firms. Our evidence is consistent with the view that investors increasingly account for GHG emissions in their investment decision making.

Harvard Citation style: Auzepy, A., Bofinger, Y., Rock, B. and Bannier, C. (2022) Carbon Footprints and Equity Risk Assessments. SSRN. https://doi.org/10.2139/ssrn.4031824

APA Citation style: Auzepy, A., Bofinger, Y., Rock, B., & Bannier, C. (2022). Carbon Footprints and Equity Risk Assessments. SSRN. https://doi.org/10.2139/ssrn.4031824