King and Lenox (2001) argued that “when does it pay to be green” might be a more important question for firms than whether it pays at all. We present an event study that suggests that it pays in the tangible presence of regulatory pressure, depending on how well the chosen scheme to become green fits with the threatened regulatory design. To this end, we exploit the unexpected passage of the Waxman-Markey Bill in 2009. This bill came as a surprise and brought the US economy on the brink of a nationwide CO2 emission trading system. We use this event to study whether firms with memberships in two well-known voluntary environmental programs to curb carbon emission, the Chicago Climate Exchange and the Climate Leaders, were rewarded by the stock market when the likelihood of federal legislation targeting carbon emissions suddenly increased. To complement the picture, we examine the prior market response to membership announcements. As yet, empiricalevidence on both issues does not present a coherent picture. We unravel the intricacies by standardizing the statistical methods and integrating the datasets. Our results suggest that only membership in tailored programs is considered beneficial. Crucially, a substantial part of the market reaction consists of industry-wide effects. In contrast to previous findings, we find no evidence that mere membership announcements triggers a market reaction. Our findings shed light on investors’ expectations of climate change policies and their value perception of voluntary carbon reduction programs.