Scheduled: Gaétan GARCIA

Jury

Abstract

This thesis examines how carbon information becomes financially relevant in European equity markets. It analyzes carbon successively as disclosed information, a portfolio-construction signal, and an asset-pricing factor. The aim is not only to determine whether carbon is incorporated into prices, but also in what form, over what time horizon, and under what conditions. The first essay analyzes market reactions to corporate carbon disclosures in Europe and complements the event-study approach with Tobin’s Q valuation tests. Average reactions around disclosure dates are limited, but sector-specific materiality influences the interpretation of emissions changes, and firms with higher emissions exhibit lower valuations. The second essay constructs sector-neutral portfolios based on firms’ relative carbon performance. Risk-adjusted performance differences are most pronounced between the cleanest and highest-emitting firms within sectors and weaken under value weighting; annual emissions trajectories provide a less robust signal than firms’ structural carbon position. The third essay combines characteristics-based Fama–MacBeth regressions with a factor approach based on carbon betas. The results do not identify a single pricing mechanism: the sign of the price of factor exposure varies with portfolio weighting, while observed emissions do not uniformly predict future returns. Emissions—in terms of levels, intensities, and factor exposures—therefore capture distinct economic objects. Overall, the thesis shows that carbon is financially relevant in Europe without being priced uniformly. Its integration depends on sectoral materiality, measurement choices, market segments, investment horizons, and the pricing channel under consideration. The findings therefore call for a distinction between information, valuation, allocation, and risk premiums, as well as between the equilibrium greenium and realized repricing effects associated with shifts in demand for green assets. Financial tools can thus make carbon visible and guide capital allocation without, on their own, ensuring decarbonization in the real economy.