Climate Change Concerns and the Performance of Green Versus Brown Stocks

By David Ardia, Keven Bluteau, Kris Boudt, Koen Inghelbrecht. Social Science Research Network, 2020

117 citations recorded by the source corpus.

We empirically test the prediction of Pastor, Stambaugh, and Taylor (2020) that green firms outperform brown firms when concerns about climate change increase unexpect- edly, using data for S&P 500 companies from January 2010 to June 2018. To capture unexpected increases in climate change concerns, we construct a Media Climate Change Concerns index using news about climate change published by major U.S. newspapers. We find that when concerns about climate change increase unexpectedly, green firms’ stock prices increase, while brown firms’ decrease. Further, using topic modeling, we con- clude that climate change concerns affect returns both through investors updating their expectations about firms’ future cash flows and through changes in investors’ preferences for sustainability.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/8c6e773a960537a1bc16d71d1ebf978fd990fda6

Citations in the corpus

• Dissecting Green Returns (2021, unknown): “Ardia et al. (2021) find these three themes are also closely related to the returns on their green-minus-brown portfolio, which is constructed differently from ours.”