Table 9.
Cross-sectional determinants of event period stock returns
| RAW | CAPM-adj | RAW | CAPM-adj | RAW | CAPM-adj | |
|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | |
| Carbon intensity | − 2.84*** | − 1.21*** | ||||
| (0.240) | (0.359) | |||||
| Climate change policy | − 3.90** | − 1.86 | ||||
| (1.360) | (1.981) | |||||
| Environmental performance | 0.42 | − 2.79 | ||||
| (2.037) | (3.520) | |||||
| Firm size | 2.03** | 5.05*** | 2.58** | 5.32*** | 2.99** | 6.31*** |
| (0.886) | (1.195) | (0.928) | (1.234) | (1.086) | (1.356) | |
| Profitability | 0.098 | 0.055 | 0.090* | 0.046 | 0.31*** | 0.083 |
| (0.057) | (0.075) | (0.050) | (0.081) | (0.086) | (0.237) | |
| Leverage | 0.043 | 0.024 | 0.062* | 0.045 | 0.070 | 0.059 |
| (0.034) | (0.048) | (0.035) | (0.039) | (0.043) | (0.056) | |
| Constant | − 79.0*** | − 122.5*** | − 89.6*** | − 128.0*** | − 104.5*** | − 153.5*** |
| (20.436) | (28.025) | (21.452) | (28.381) | (25.143) | (31.608) | |
| Observations | 578 | 578 | 578 | 578 | 453 | 453 |
| Adjusted R2 | 0.230 | 0.220 | 0.224 | 0.211 | 0.274 | 0.230 |
| Industry fixed effects | Yes | Yes | Yes | Yes | Yes | Yes |
| Country fixed effects | 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 cumulative raw returns (RAW) and CAPM-adjusted (CAPM-adj) 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 are clustered at the industry and country level
*p < 0.10; **p < 0.05; ***p < 0.01