Climate responsibility premium : an event study on the US climate policy shock

• Autor(a) principal: Gouveia, José Luís Barros
• Data de Publicação: 2020
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/31109
• topic: Climate responsibility premium; ESG; CSR; Event study; Stock returns; Prémio de responsabilidade climática; Estudo de evento; Retorno de ações; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

Donald Trump’s election, Scott Pruitt’s nomination and the withdrawal of the United States of America from the Paris Agreement created expectations of a weaker environmental regulation in the country. This thesis studies the stock market reactions to these events on the Russell 3000 constituents. Investors rewarded carbon-intensive industries on the short run, as naïve intuition would suggest. However, and least expected, environmentally responsible firms also benefitted from these shocks. Such results are explained by the general increase in climate awareness, sparked by these events. Over the long run, the climate responsibility premium grew until the end of the year 2017, stagnating through the whole year of 2018. Changes in Donald Trump’s political influence consistently brought two different shocks to the climate responsibility premium. One from the perceived environmental deregulation, and the other from the rise in general climate awareness. The awareness shock prevailed until the end of 2017, benefitting climate responsible firms. The deregulation shock started overriding in 2018, as an increase in the President’s popularity began negatively affecting the premium