Climate policy uncertainty and the price dynamics of green and brown energy stocks

Elie Bouri; Najaf Iqbal; Tony Klein

doi:10.1016/j.frl.2022.102740

Climate policy uncertainty and the price dynamics of green and brown energy stocks

Elie Bouri, Najaf Iqbal^*, Tony Klein

^*Corresponding author for this work

Queen's Management School

Research output: Contribution to journal › Article › peer-review

Abstract

Using the newly proposed textual-based climate policy uncertainty index of Gavriilidis (2021), we provide the first empirical evidence that climate policy uncertainty is a significant determinant of the performance of green energy stocks relative to brown energy stocks. The climate policy uncertainty effect is positive and driven by crisis periods. The findings highlight the predictive information of climate policy uncertainty for price dynamics of green and brown energy equity and underline its influence on the preference of investors for green energy stocks, which matters for asset pricing, style rotation strategies, and asset allocation.

Original language	English
Article number	102740
Journal	Finance Research Letters
Early online date	04 Mar 2022
DOIs	https://doi.org/10.1016/j.frl.2022.102740
Publication status	Early online date - 04 Mar 2022

Bibliographical note

Funding Information:
Najaf Iqbal gratefully acknowledges the support from Academic Financial Aid Project for Top Talents in Universities of Anhui via grant number gxbjZD14 .

Publisher Copyright:
© 2022 Elsevier Inc.

Keywords

Climate change
Climate policy uncertainty
Crisis periods
Green and brown energy stocks
Green equity

ASJC Scopus subject areas

Finance

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.frl.2022.102740Licence: Unspecified

Cite this

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title = "Climate policy uncertainty and the price dynamics of green and brown energy stocks",

abstract = "Using the newly proposed textual-based climate policy uncertainty index of Gavriilidis (2021), we provide the first empirical evidence that climate policy uncertainty is a significant determinant of the performance of green energy stocks relative to brown energy stocks. The climate policy uncertainty effect is positive and driven by crisis periods. The findings highlight the predictive information of climate policy uncertainty for price dynamics of green and brown energy equity and underline its influence on the preference of investors for green energy stocks, which matters for asset pricing, style rotation strategies, and asset allocation.",

keywords = "Climate change, Climate policy uncertainty, Crisis periods, Green and brown energy stocks, Green equity",

author = "Elie Bouri and Najaf Iqbal and Tony Klein",

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doi = "10.1016/j.frl.2022.102740",

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journal = "Finance Research Letters",

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TY - JOUR

T1 - Climate policy uncertainty and the price dynamics of green and brown energy stocks

AU - Bouri, Elie

AU - Iqbal, Najaf

AU - Klein, Tony

N1 - Funding Information: Najaf Iqbal gratefully acknowledges the support from Academic Financial Aid Project for Top Talents in Universities of Anhui via grant number gxbjZD14 . Publisher Copyright: © 2022 Elsevier Inc.

PY - 2022/3/4

Y1 - 2022/3/4

N2 - Using the newly proposed textual-based climate policy uncertainty index of Gavriilidis (2021), we provide the first empirical evidence that climate policy uncertainty is a significant determinant of the performance of green energy stocks relative to brown energy stocks. The climate policy uncertainty effect is positive and driven by crisis periods. The findings highlight the predictive information of climate policy uncertainty for price dynamics of green and brown energy equity and underline its influence on the preference of investors for green energy stocks, which matters for asset pricing, style rotation strategies, and asset allocation.

AB - Using the newly proposed textual-based climate policy uncertainty index of Gavriilidis (2021), we provide the first empirical evidence that climate policy uncertainty is a significant determinant of the performance of green energy stocks relative to brown energy stocks. The climate policy uncertainty effect is positive and driven by crisis periods. The findings highlight the predictive information of climate policy uncertainty for price dynamics of green and brown energy equity and underline its influence on the preference of investors for green energy stocks, which matters for asset pricing, style rotation strategies, and asset allocation.

KW - Climate change

KW - Climate policy uncertainty

KW - Crisis periods

KW - Green and brown energy stocks

KW - Green equity

U2 - 10.1016/j.frl.2022.102740

DO - 10.1016/j.frl.2022.102740

M3 - Article

AN - SCOPUS:85126052454

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

M1 - 102740

ER -

Climate policy uncertainty and the price dynamics of green and brown energy stocks

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

UN SDGs

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Cite this