This research provides new perspectives on carbon risk factor by using raw carbon data; cleaning carbon data; analyzing … global stock universe; utilizing a long data timeframe; and constructing three unique carbon factors. All three carbon … factors (carbon volume, carbon financial efficiency, and carbon operational efficiency) exhibit strong performance and high …

We examine the world's largest carbon exchange, ICE's ECX, by applying Chordia et al.'s (2008) conception of short … trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading …

We investigate carbon risk in global equity prices. We develop a measure of carbon risk using industry standard …. We construct a carbon risk factor-mimicking portfolio to understand carbon risk through the lens of a factor-based asset … pricing model. While carbon risk explains systematic return variation well, we do not find evidence of a carbon risk premium …

The European Union Emissions Trading Scheme (EU ETS) is the world’s first regional carbon trading market. Its objective … is to link European countries around a common price for carbon as a step towards helping the global economy transition to … a low-carbon production base. This article is one of the first quantitative econometric attempts to understand how a …

Compliance carbon allowances and voluntary carbon credits are important tools to reduce carbon emissions and align … production and consumption with the Paris Agreement. The four sizable compliance carbon allowance markets accessible to investors … States. We document the liquidity of futures traded on the carbon allowances of these four markets. Return correlation …

Companies face significant carbon-transition risk as the global economy works to combat climate change. This paper … studies the market-based premium associated with the carbon-transition risk globally and finds that firms with more carbon …-intense business models earn higher returns in recent years. The carbon return is impacted by climate-aware institutional flows, is …

Carbon-intensive firms have been underperforming in the U.S. despite their higher carbon transition risk. The brown …-minus-green return spread, or carbon return, is zero on average globally but varies significantly across countries with unexpected cash … flow shocks and climate taste shifts. The lower carbon return in developed markets reflects stronger growth in climate …