Climate change concerns and the performance of green vs. brown stocks
- Author
- David Ardia, Keven Bluteau, Kris Boudt (UGent) and Koen Inghelbrecht (UGent)
- Organization
- Project
- Abstract
- We empirically test the prediction of Pa ' stor et al. (2021) that green firms outperform brown firms when concerns about climate change increase unexpectedly, using data for S&P 500 companies from January 2010 to June 2018. To capture unexpected increases in climate change concerns, we construct a daily Media Climate Change Concerns index using news about climate change published by major U.S. newspapers and newswires. We find that on days with an unexpected increase in climate change concerns, the green firms' stock prices tend to increase, whereas brown firms' prices decrease. Furthermore, using topic modeling, we conclude that this effect holds for concerns about both transition and physical climate change risk. Finally, we decompose returns into cash flow and discount rate news components and find that an unexpected increase in climate change concerns is associated with an increase (decrease) in the discount rate of brown (green) firms.
- Keywords
- Management Science and Operations Research, Strategy and Management, asset pricing, climate change, sustainable investing, ESG, greenhouse, gas emissions, sentometrics, textual analysis, MEDIA, NEWS
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-01GP0JMT6Y5X3CMKBEGN69SWXQ
- MLA
- Ardia, David, et al. “Climate Change Concerns and the Performance of Green vs. Brown Stocks.” MANAGEMENT SCIENCE, vol. 69, no. 12, 2023, pp. 7607–32, doi:10.1287/mnsc.2022.4636.
- APA
- Ardia, D., Bluteau, K., Boudt, K., & Inghelbrecht, K. (2023). Climate change concerns and the performance of green vs. brown stocks. MANAGEMENT SCIENCE, 69(12), 7607–7632. https://doi.org/10.1287/mnsc.2022.4636
- Chicago author-date
- Ardia, David, Keven Bluteau, Kris Boudt, and Koen Inghelbrecht. 2023. “Climate Change Concerns and the Performance of Green vs. Brown Stocks.” MANAGEMENT SCIENCE 69 (12): 7607–32. https://doi.org/10.1287/mnsc.2022.4636.
- Chicago author-date (all authors)
- Ardia, David, Keven Bluteau, Kris Boudt, and Koen Inghelbrecht. 2023. “Climate Change Concerns and the Performance of Green vs. Brown Stocks.” MANAGEMENT SCIENCE 69 (12): 7607–7632. doi:10.1287/mnsc.2022.4636.
- Vancouver
- 1.Ardia D, Bluteau K, Boudt K, Inghelbrecht K. Climate change concerns and the performance of green vs. brown stocks. MANAGEMENT SCIENCE. 2023;69(12):7607–32.
- IEEE
- [1]D. Ardia, K. Bluteau, K. Boudt, and K. Inghelbrecht, “Climate change concerns and the performance of green vs. brown stocks,” MANAGEMENT SCIENCE, vol. 69, no. 12, pp. 7607–7632, 2023.
@article{01GP0JMT6Y5X3CMKBEGN69SWXQ,
abstract = {{We empirically test the prediction of Pa ' stor et al. (2021) that green firms outperform brown firms when concerns about climate change increase unexpectedly, using data for S&P 500 companies from January 2010 to June 2018. To capture unexpected increases in climate change concerns, we construct a daily Media Climate Change Concerns index using news about climate change published by major U.S. newspapers and newswires. We find that on days with an unexpected increase in climate change concerns, the green firms' stock prices tend to increase, whereas brown firms' prices decrease. Furthermore, using topic modeling, we conclude that this effect holds for concerns about both transition and physical climate change risk. Finally, we decompose returns into cash flow and discount rate news components and find that an unexpected increase in climate change concerns is associated with an increase (decrease) in the discount rate of brown (green) firms.}},
author = {{Ardia, David and Bluteau, Keven and Boudt, Kris and Inghelbrecht, Koen}},
issn = {{0025-1909}},
journal = {{MANAGEMENT SCIENCE}},
keywords = {{Management Science and Operations Research,Strategy and Management,asset pricing,climate change,sustainable investing,ESG,greenhouse,gas emissions,sentometrics,textual analysis,MEDIA,NEWS}},
language = {{eng}},
number = {{12}},
pages = {{7607--7632}},
title = {{Climate change concerns and the performance of green vs. brown stocks}},
url = {{http://doi.org/10.1287/mnsc.2022.4636}},
volume = {{69}},
year = {{2023}},
}
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