Green vs brown

: analyzing the stock market’s response to the COPs’ conclusions

Abstract

This thesis analyses the impact of the last 11 Conferences of the Parties on the stock returns of 477 companies. It uses an event study methodology with an event window of 11 days, as well as predictive regressions to determine how these events impact the abnormal returns of green and brown companies quoted on American stock exchanges. In differentiating green from brown firms based on Refinitiv’s Environmental ESG score, I find evidence that these two groups react quite differently depending on the event and the industry. I however nuance these findings in the second part of my analysis as my regressions fail to find any explanatory power from this classification. The analysis completed in this paper reveals that there are anticipatory effects in the days preceding certain events. These effects were especially pronounced in environmentally vulnerable industries such as mining, indicating higher market sensitivity to changes in regulations. I find however that the measure for the size of a company is consistently significant, highlighting larger businesses' exposure to market fluctuations following COP announcements.

Date of Award	25 Jun 2024
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Zoe Venter (Supervisor)