Carbon Risk

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Topic: Carbon Risk

Speaker: Marco Wilkens, University of Augsburg

Abstract:      

The climate change induced transition of the economy bears existential risk for firms: carbon risk. Based on a unique sample of 1,600 global firms with comprehensive carbon risk proxies from four major ESG databases, we construct a carbon risk factor from stock returns of brown and green firms. This factor can be used in established factor models to estimate Carbon Beta as a straightforward measure for carbon risk absent any firm specific carbon risk information. Estimating Carbon Betas for more than 39,000 firms, we report the carbon risk of portfolios, industries, and countries. Our results can be used by firms to understand their own carbon risk, by regulators to gauge the impact of policy changes, and by investors to directly manage carbon risk in their portfolios without hurting performance.

Date: Wednesday, 20th February 2019     

Time: 12.00 – 1.00 p.m.

Venue: University of Technology Sydney
             Building 8, Room 4.003, Dr Chau Chak Wing Building
             Dr Chau Chak Wing Building
             14 - 28 Ultimo Road, Ultimo
             Sydney, Australia

Co-ordinator: Kris Glover  (Ph: +61 2 9514 7778)

Enquiries: Duncan Ford (Ph: +61 2 9514 7714)

Back to Finance seminars
Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.