Climate risk disclosure regulations and their impact on financial markets

Abstract

This thesis examines how climate disclosure rules influenced UK stock prices between 2020 and 2023. It uses an event study on the FTSE All-Share index, covering eleven announcements 3 from consultations to policy statements and the Energy Act 2023 3 across eight symmetric and post-event windows. Abnormal returns are calculated using a market model, and firm-level CARs are then regressed on carbon intensity and ESG performance. The market response is small overall and only statistically significant for a few events. Price direction depends on what was announced. When new or stricter rules were introduced, carbon-intensive firms tended to lose more. When regulators clarified timelines or scope, part of the previous decline was reversed. The Energy Act 2023 stands out with a clear positive reaction, particularly for low-carbon firms. Subgroup tests show the same pattern: high emitters and carbon-intensive industries underperform, while firms with stronger ESG practices limit the damage, especially over longer periods. All in all, the results suggest that the UK market adjusts step by step, not with a single shock. This shows why the sequencing and communication of policy measures are so important for stable pricing. For investors, the implication is practical: portfolio decisions should reflect both carbon exposure and the quality of ESG processes.

Date of Award	17 Oct 2025
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	José D. Garcia Revelo (Supervisor)