Table 2.

Stock market cumulative average abnormal returns (%) by industry

NACE	Industry description	Obs	RAW	t test	CAPM-adj	t test	FF-adj	t test	Carbon intensities
			(1)		(2)		(3)		(4)
6	Crude petroleum extraction	3	− 68.26	− 2.848***	− 23.00	− 1.623	− 12.34	− 0.929	–
79	Travel agency	1	− 67.96	− 3.145***	− 29.05	− 1.768*	− 16.67	− 1.059	0.05
50	Water transport	2	− 60.55	− 5.067***	− 17.18	− 1.852*	− 8.52	− 1.006	4.06
9	Mining support services	5	− 57.96	− 4.138***	− 20.67	− 2.041**	− 8.98	− 1.032	–
51	Air transport	5	− 57.81	− 4.227***	− 17.07	− 1.514	− 8.55	− 0.789	3.69
60	Programming and broadcasting	2	− 57.25	− 4.241***	− 44.67	− 4.106***	− 31.31	− 3.233***	–
59	Motion picture, video and sound	3	− 53.46	− 6.256***	− 47.59	− 7.447***	− 44.55	− 7.091***	0.03a
69	Legal and accounting	4	− 51.24	− 5.789***	− 3.69	− 0.559	− 3.06	− 0.473	–
56	Food and beverage service activities	3	− 50.6	− 6.947***	2.37	0.390	1.30	0.221	–
73	Advertising	2	− 47.02	− 3.882***	− 5.66	− 0.620	− 4.67	− 0.514	0.03
24	Basic metals	6	− 46.88	− 3.375***	− 24.62	− 2.635***	− 14.37	− 1.809*	2.35
29	Motor vehicles	15	− 46.82	− 4.279***	− 26.12	− 3.963***	− 21.17	− 3.490***	0.04
80	Security and investigation	4	− 45.53	− 4.852***	− 10.57	− 1.558	− 11.82	− 1.764*	0.03b
77	Rental and leasing	2	− 45.26	− 4.109***	3.38	0.498	4.70	0.693	0.06
70	Activities of head office	1	− 44.64	− 3.826***	− 38.88	− 4.962***	− 34.96	− 4.567***	0.02c
45	Motor vehicles trade and repair	1	− 44.31	− 3.851***	− 50.00	− 5.336***	− 44.01	− 4.837	0.06
55	Accommodation	3	− 44.28	− 5.170***	3.64	0.588	6.92	1.145	0.05
64	Financial services	60	− 44.11	− 5.050***	− 13.59	− 2.793***	− 5.52	− 1.668*	0.01
52	Warehousing	8	− 43.47	− 6.477***	− 5.76	− 1.251	− 7.85	− 1.745*	0.13
78	Employment activities	2	− 41.31	− 3.830***	− 30.20	− 4.219***	− 24.93	− 3.623***	0.02
82	Office administrative activities	2	− 41.3	− 4.230***	− 12.60	− 1.885	− 14.76	− 2.230**	–
3	Fishing and aquaculture	2	− 41.05	− 3.262***	− 13.20	− 1.151	− 17.97	− 1.586	1.12
30	Other transport equipment	10	− 40.6	− 5.420***	− 3.75	− 0.905	− 5.91	− 1.455	0.03
41	Construction of buildings	9	− 39.6	− 4.045***	− 6.81	− 0.927	0.88	0.133	0.10
19	Coke and refined petroleum	10	− 38.62	− 5.132***	11.39	2.151**	14.63	3.050***	4.15
53	Postal and courier activities	3	− 38.23	− 3.586***	− 23.45	− 3.043***	− 18.59	− 2.496**	0.12
81	Services to buildings and landscape	2	− 36.07	− 3.405***	− 12.52	− 1.392	− 15.16	− 1.708*	–
22	Rubber and plastic	6	− 35.77	− 3.604***	− 16.24	− 2.547**	− 11.40	− 1.887*	0.12
65	Insurance	32	− 35.19	− 5.504***	1.85	0.532	5.38	1.683*	0.05
7	Mining of metal ores	8	− 34.54	− 3.263***	− 1.60	− 0.227	4.15	0.644	1.42
90	Creative, arts and entertainment	1	− 33.65	− 3.033***	6.53	0.644	0.97	0.100	0.04d
27	Electrical equipment	7	− 33.52	− 3.920***	− 21.66	− 4.075***	− 20.20	− 3.873***	0.11
23	Other non-metallic mineral products	8	− 33.38	− 4.380***	− 6.64	− 1.605	− 4.39	− 1.090	2.79
46	Wholesale trade	7	− 32.56	− 4.078***	− 3.45	− 0.698	− 2.04	− 0.421	0.07
71	Architectural and engineering activities	7	− 31.62	− 3.572***	− 23.42	− 4.409***	− 24.46	− 4.701***	0.03
31	Furniture manufacturing	1	− 31.27	− 2.200**	− 5.96	− 0.473	4.57	0.386	0.04
58	Publishing	16	− 30.61	− 3.858***	− 9.08	− 1.774*	− 10.55	− 2.307**	0.02
68	Real estate	32	− 30.27	− 5.622***	10.21	2.265**	10.01	2.295**	0.004
28	Machinery and equipment	32	− 30.11	− 3.463***	− 14.23	− 3.474***	− 12.32	− 3.048***	0.05
47	Retail trade	31	− 28.83	− 4.056***	− 10.84	− 2.742***	− 8.39	− 2.206**	0.07
14	Apparel manufacturing	4	− 28.79	− 2.942***	− 1.56	− 0.224	− 7.45	− 1.152	0.11e
42	Civil engineering	6	− 27.94	− 4.395***	13.55	3.634***	11.36	3.172***	–
15	Leather	3	− 27.36	− 2.670***	− 9.05	− 1.436	− 12.86	− 2.121**	–
11	Beverage manufacturing	11	− 27.33	− 4.303***	8.78	1.788*	1.38	0.358	–
66	Auxiliary financials	22	− 27.1	− 3.377***	− 2.25	− 0.504	1.09	0.256	0.02
92	Gambling and betting	3	− 26.6	− 2.053**	9.52	0.901	14.04	1.345	–
20	Chemicals manufacturing	25	− 26.08	− 3.435***	− 15.51	− 4.840***	− 14.52	− 4.595***	1.04
43	Specialised construction	1	− 25.7	− 2.190**	7.61	0.720	9.04	0.887	–
62	Computer programming	5	− 25.31	− 2.267**	− 15.07	− 1.923*	− 19.84	− 2.738***	0.01
61	Telecommunications	21	− 24.25	− 4.059***	− 0.67	− 0.163	− 0.68	− 0.165	0.01
26	Computer manufacturing	21	− 23.51	− 2.854***	− 3.62	− 0.823	− 4.48	− 1.076	0.03
86	Human health	6	− 23.29	− 2.084**	− 15.37	− 1.925*	− 16.12	− 2.073**	0.03
87	Residential care	1	− 22.77	− 1.983**	− 4.36	− 0.436	− 11.76	− 1.253	0.04
35	Electricity and gas	24	− 21.21	− 3.509***	20.56	4.362***	16.44	3.746***	4.69
49	Land and pipeline transport	2	− 20.72	− 2.833***	0.53	0.091	1.75	0.303	0.72
17	Paper	13	− 19.54	− 2.631***	0.84	0.179	0.30	0.065	0.70
63	Information service activities	11	− 18.72	− 2.429**	0.95	0.176	− 1.23	− 0.243	0.02
36	Water	5	− 18.23	− 2.019**	9.58	1.241	9.62	1.268	0.26
72	Scientific research and development	10	− 16.58	− 2.015**	9.11	1.470	3.25	0.588	0.02
10	Food manufacturing	10	− 15.72	− 2.900***	10.80	2.668***	7.12	1.980**	0.24f
32	Other manufacturing	15	− 15.2	− 2.186**	2.75	− 0.498	− 1.96	− 0.460	–
12	Tobacco manufacturing	3	− 12.67	− 1.200	9.13	0.991	7.42	0.808	–
21	Pharmaceuticals	15	− 8.26	− 1.296	1.27	0.283	− 5.20	− 1.481	0.06
	All industries	595	− 31.64	− 5.153***	− 5.04	− 2.943***	− 3.74	− 2.297**

This table presents cumulative raw returns (RAW), CAPM-adjusted (CAPM-adj) and Fama–French-adjusted (FF-adj) cumulative abnormal returns for each industry using the two-digit NACE industry classification. The sample consists of STOXX 600 index constituents as of December 31, 2019. The estimation window includes the months January to December 2019 while the event window starts from January to March 2020. The t-statistics are computed using the crude dependence adjustment (CDA) procedure presented in Brown and Warner (1980, 1985). The CDA test statistic accounts for cross-sectional correlation due to event clustering

The last column shows 2017 GHG emission intensities for each of the industries. The emission intensities are for 27 European Union countries and the data is obtained from Eurostat

*p < 0.10; **p < 0.05; ***p < 0.01

^aIncludes emissions from programming and broadcasting activities

^bIncludes emissions from office administrative and support activities

^cIncludes emissions from legal and accounting activities

^dIncludes emissions from gambling and betting activities

^eIncludes emissions from manufacturing of leather and related products

^fIncludes emissions from manufacturing of beverages and tobacco products