Table 7.

Cross-sectional determinants of event period stock returns

Dependent variable	Fama–French-adjusted returns
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)
Carbon intensity	0.47	− 0.10	− 0.10
	(0.567)	(0.620)	(0.559)
Climate change policy				1.42	0.69	0.69
				(1.524)	(1.870)	(1.638)
Environmental performance							− 0.84	− 1.94	− 1.94
							(2.733)	(3.087)	(3.169)
Firm size	3.07***	3.63***	3.63***	2.89***	3.53***	3.53***	3.77***	4.46***	4.46***
	(0.853)	(0.643)	(0.938)	(0.808)	(0.787)	(0.956)	(0.869)	(0.907)	(1.079)
Profitability	− 0.0022	0.035	0.035	− 0.0083	0.026	0.026	− 0.0087	0.028	0.028
	(0.066)	(0.066)	(0.073)	(0.069)	(0.069)	(0.079)	(0.173)	(0.191)	(0.216)
Leverage	0.058**	0.024	0.024	0.060*	0.037***	0.037**	0.045	0.039	0.039
	(0.026)	(0.015)	(0.024)	(0.031)	(0.011)	(0.016)	(0.030)	(0.028)	(0.032)
Constant	− 75.4***	− 88.4***	− 88.4***	− 72.3***	− 86.8***	− 86.8***	− 92.2***	− 108.3***	− 108.3***
	(20.172)	(15.296)	(21.844)	(19.203)	(17.690)	(21.662)	(20.594)	(21.348)	(24.962)
Observations	579	578	578	579	578	578	455	453	453
Adjusted R2	0.065	0.191	0.191	0.061	0.179	0.179	0.073	0.180	0.180
Industry fixed effects	No	Yes	Yes	No	Yes	Yes	No	Yes	Yes
Country fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

This table shows results from OLS regressions of individual stock abnormal returns on Carbon Intensity, Climate Change Policy, Environmental Performance and firm characteristics. The dependent variables are the Fama–French-adjusted returns. The event period for estimating the abnormal returns is January to March 2020. The variable Carbon Intensity is represented by GHG emissions normalized by the firm’s market capitalization on the day before the event window. GHG emissions are measured as the sum of Scope 1 and 2 emissions. Climate Change Policy is a dummy variable equal to 1 for firms that have outlined their intention to help reduce global emissions of the GHGs through its ongoing operations or the use of its products and services, and zero otherwise. Environmental Performance is a dummy variable equal to 1 for firms in the top quartile of environmental performance, and zero otherwise. The variable Firm Size is the natural log of market capitalization for firm i in industry j, Leverage is financial leverage calculated as average total assets divided by average total common equity and Profitability is the return on assets—a measure of a firm’s profitability. The sample consists of the STOXX 600 index constituents. Standard errors in parentheses in specifications (3), (6) and (9) are clustered at the industry and country level while the rest of the standard errors are clustered by country

*p < 0.10; **p < 0.05; ***p < 0.01