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The informational contents of announcements on verified emissions in the EU ETS - An empirical investigation using a multi-country event study approach


Schmidt, Peter S; Werner, Therese (2011). The informational contents of announcements on verified emissions in the EU ETS - An empirical investigation using a multi-country event study approach. In: SSES Annual Meeting 2011, Luzern, 9 June 2011 - 9 June 2011, 1-24.

Abstract

Empirical studies on the relation of the European Union Emissions Trading Scheme (EU ETS)
and its impact on stock prices of affected companies concentrate so far mostly on the mechanism
between emissions allowance (EUA) price and stock returns. This study in contrast examines the
relation of stock returns and the announcement on verified emissions (VE). We use event study
methodology and find on the 15th of May 2006, the first time when allocation could be justified,
a negative cumulated and significant impact of the announcement of VE on stock returns and a positive
cumulated (and marginal significant) impact on the 28th of April 2008, the last announcement
of VE in the first period. Using the results from the event-study for cross sectional analysis we find
evidence for a change in how announcements on VE were incorporated in stock markets.

Abstract

Empirical studies on the relation of the European Union Emissions Trading Scheme (EU ETS)
and its impact on stock prices of affected companies concentrate so far mostly on the mechanism
between emissions allowance (EUA) price and stock returns. This study in contrast examines the
relation of stock returns and the announcement on verified emissions (VE). We use event study
methodology and find on the 15th of May 2006, the first time when allocation could be justified,
a negative cumulated and significant impact of the announcement of VE on stock returns and a positive
cumulated (and marginal significant) impact on the 28th of April 2008, the last announcement
of VE in the first period. Using the results from the event-study for cross sectional analysis we find
evidence for a change in how announcements on VE were incorporated in stock markets.

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Additional indexing

Item Type:Conference or Workshop Item (Paper), refereed, original work
Communities & Collections:03 Faculty of Economics > Center for Corporate Responsibility and Sustainability
Dewey Decimal Classification:330 Economics
Language:English
Event End Date:9 June 2011
Deposited On:16 Feb 2012 10:09
Last Modified:05 Apr 2016 15:29
Additional Information:Also presented at Statistische Woche, Leibzig 22.09.2011 Maco and Financial Econometrics Conference, Heidelberg 30.09.2011

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