Template-type: ReDIF-Paper 1.0
Author-Name: Jonas Heim
Author-Name-First: Jonas
Author-Name-Last: Heim
Author-Name: Thomas Nitschka
Author-Name-First: Thomas
Author-Name-Last: Nitschka
Author-Person: pni214
Title: On the carbon premium in Swiss stock returns
Abstract: This paper evaluates whether CO2 emission levels or emission intensities are firm characteristics that drive Swiss firms’ stock returns. We show that standard characteristics such as size and the book-to-market equity ratio are more important determinants of firm-level stock returns than are CO2 levels (intensities). Brown firms (high CO2 levels or intensities) tend to be large and exhibit low book-to-market equity ratios, whereas their green counterparts are small and exhibit high book-to-market equity ratios. This explains why return differences between brown and green firms are statistically indistinguishable from zero after controlling for exposures to standard risk factors.

Length: 44 pages
Creation-Date: 2025
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2025/working_paper_2025_13
File-Format: text/html
Number: 2025-13
Classification-JEL: G12, Q54
Keywords: Climate change, CO2 emissions, Event study, Risk premium
Handle: RePEc:snb:snbwpa:2025-13