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Song, Chang-Keun
Air Quality Impact Assessment Research Lab.
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Carbon productivity and volatility

Author(s)
Jung, HailLee, Jun-YoupSong, Chang-Keun
Issued Date
2023-09
DOI
10.1016/j.frl.2023.104052
URI
https://scholarworks.unist.ac.kr/handle/201301/64468
Citation
FINANCE RESEARCH LETTERS, v.56, pp.104052
Abstract
This study investigates the relationship between firm-level carbon productivity and volatility. With increasing interest in sustainable investing and inclusion of carbon productivity in financial assessments, we examine whether the market considers firms with high carbon productivity as less risky. Using U.S. firm-level carbon emission data, we find that carbon productivity is negatively associated with total and idiosyncratic volatilities. Our main findings hold under propensity score matching and coarsened exact matching. We also show that this relationship is significant when the binding intergovernmental regulations such as the Paris Agreement is active.
Publisher
Elsevier BV
ISSN
1544-6123
Keyword (Author)
Carbon productivityClimate changeESGRiskVolatility

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