Stock price reactions to climate science information from the Intergovernmental Panel on Climate Change: A mitigation function of corporate and sector emissions responsibility?
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Stock price reactions to climate science information from the Intergovernmental Panel on Climate Change : A mitigation function of corporate and sector emissions responsibility? / Teutrine, Constanze; Schuster, Mario; Bornhöft, Sophie Constance et al.
In: Business Strategy and the Environment, 01.04.2024.Research output: Journal contributions › Journal articles › Research › peer-review
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TY - JOUR
T1 - Stock price reactions to climate science information from the Intergovernmental Panel on Climate Change
T2 - A mitigation function of corporate and sector emissions responsibility?
AU - Teutrine, Constanze
AU - Schuster, Mario
AU - Bornhöft, Sophie Constance
AU - Lueg, Rainer
AU - Bouzzine, Yassin Denis
N1 - Publisher Copyright: © 2024 The Authors. Business Strategy and The Environment published by ERP Environment and John Wiley & Sons Ltd.
PY - 2024/4/1
Y1 - 2024/4/1
N2 - This research investigates the influence of climate science information released by the Intergovernmental Panel on Climate Change (IPCC) on the European stock market, with a particular emphasis on differentiating the stock price reactions based on sector climate sensitivity and corporate emissions responsibility. Performing an event study on Stoxx Europe 600 constituents, we analyse stock price reactions to the sixth IPCC assessment report published between 2018 and 2023. Results show that climate-sensitive sectors respond more intensely to climate news. We find greater volatility in stock prices for climate-sensitive sectors than in corporate emissions-graded portfolios. Cumulative average abnormal returns range from 26.442% for the alternative energy sector to −6.416% for the construction sector. For the corporate emissions responsibility portfolios, we generally observe negative stock price reactions disregarding firms' level of emissions responsibility. Firms with higher emissions responsibility outperform peers only during the synthesis report release. Our study enriches the literature on stock price reactions to climate science news, which is limited to the analysis of the first five IPCC reports and to sector analyses.
AB - This research investigates the influence of climate science information released by the Intergovernmental Panel on Climate Change (IPCC) on the European stock market, with a particular emphasis on differentiating the stock price reactions based on sector climate sensitivity and corporate emissions responsibility. Performing an event study on Stoxx Europe 600 constituents, we analyse stock price reactions to the sixth IPCC assessment report published between 2018 and 2023. Results show that climate-sensitive sectors respond more intensely to climate news. We find greater volatility in stock prices for climate-sensitive sectors than in corporate emissions-graded portfolios. Cumulative average abnormal returns range from 26.442% for the alternative energy sector to −6.416% for the construction sector. For the corporate emissions responsibility portfolios, we generally observe negative stock price reactions disregarding firms' level of emissions responsibility. Firms with higher emissions responsibility outperform peers only during the synthesis report release. Our study enriches the literature on stock price reactions to climate science news, which is limited to the analysis of the first five IPCC reports and to sector analyses.
KW - IPCC
KW - climate risk
KW - climate sensitivity
KW - environmental responsibility
KW - event study
KW - stock market reaction
KW - Management studies
UR - http://www.scopus.com/inward/record.url?scp=85189620149&partnerID=8YFLogxK
U2 - 10.1002/bse.3761
DO - 10.1002/bse.3761
M3 - Journal articles
JO - Business Strategy and the Environment
JF - Business Strategy and the Environment
SN - 0964-4733
ER -