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Table of Contents
Preface; Contents; 1 Introduction; Abstract; 1.1 Motivation for This Book; 1.2 Major Findings and Contributions; 1.3 Organization of the Book; References; 2 How Does Carbon Market Work; Abstract; 2.1 Global Carbon Market; 2.2 Institutions and Regulations that Form the EU Emission Trading System; 2.2.1 The National Allocation Plan (NAP); 2.2.2 Verification; 2.2.3 The Linking Directive; 2.3 Market Mechanisms and Emission Reduction; 2.4 Previous Studies on the Efficiency of the EU ETS; 2.4.1 The Impact of NAP Announcements on Carbon Returns
2.4.2 The Impact of Verification Events on Carbon Returns2.4.3 The Impact of NAP Announcements and Verification Events on the Volatility of Carbon Prices; 2.4.4 A Gap in the Literature; References; 3 Do Regulations Affect Carbon Market Returns and Volatility?; Abstract; 3.1 Introduction; 3.2 Which Events Can Influence the Market?; 3.3 Methodology; 3.3.1 Measuring the Impact of Regulatory Announcements on CO2 Returns; 3.3.1.1 Univariate Carbon Price Analysis; 3.3.1.2 Multivariate Carbon Price Analysis; 3.3.2 Measuring the Impact of Regulatory Announcements on CO2 Volatility; 3.4 Data
3.4.1 Regulatory Announcements3.4.2 Data on Carbon Prices and Carbon Return-Generating Model; 3.4.3 Construction of the European Weather Index; 3.5 Empirical Results; 3.5.1 Impact of Regulations on Carbon Price: Univariate Analysis; 3.5.1.1 The Financial Crisis and Its Impact on the Carbon Price Dynamics; Pre-Crisis Subsample (22/04/2005 to 16/08/2007); Full-Crisis Subsample (17/08/2007 to 30/06/2011); 3.5.1.2 Structural Break Test; Subsample 1 (22/04/2005 to 26/12/2006); Subsample 2 (27/12/2006 to 21/06/2007); Subsample 3 (22/06/2007 to 30/06/2011)
3.5.2 Impact of Regulations on Carbon Price: Multivariate Analysis3.5.2.1 The Financial Crisis and Its Impact on the Carbon Price Dynamics; Pre-crisis Multivariate Model; Full-Crisis Multivariate Model; 3.5.2.2 The Multifactor Model with Structural Breaks; Subsample 1 (22/04/2005 to 17/12/2006); Subsample 2 (18/12/2006 to 04/04/2007); Subsample 3 (05/04/2007 to 30/06/2011); 3.5.3 The Impact of Announcements on Volatility; 3.6 Conclusions; References; 4 Does CO2 Emissions Performance Matter for Stock Prices?; Abstract; 4.1 Introduction; 4.2 Literature Review
4.2.1 Financial Performance and Environmental Information4.2.2 Economic Consequences of EU ETS Compliance; 4.2.3 Relationship Between CO2 Prices and Stock Prices; 4.3 Hypotheses Development; 4.4 Methodology; 4.4.1 Event Study; 4.4.2 Sources of Abnormal Returns; 4.4.3 Environmental Effectiveness of the EU ETS; 4.5 Data; 4.5.1 The Community Independent Transaction Log (CITL); 4.5.2 Sample Construction; 4.5.3 Event Days; 4.5.4 Return-Generating Models for German and British Companies; 4.6 Empirical Results; 4.6.1 Investor Reactions to Unanticipated Changes in the Levels of Actual Emissions
2.4.2 The Impact of Verification Events on Carbon Returns2.4.3 The Impact of NAP Announcements and Verification Events on the Volatility of Carbon Prices; 2.4.4 A Gap in the Literature; References; 3 Do Regulations Affect Carbon Market Returns and Volatility?; Abstract; 3.1 Introduction; 3.2 Which Events Can Influence the Market?; 3.3 Methodology; 3.3.1 Measuring the Impact of Regulatory Announcements on CO2 Returns; 3.3.1.1 Univariate Carbon Price Analysis; 3.3.1.2 Multivariate Carbon Price Analysis; 3.3.2 Measuring the Impact of Regulatory Announcements on CO2 Volatility; 3.4 Data
3.4.1 Regulatory Announcements3.4.2 Data on Carbon Prices and Carbon Return-Generating Model; 3.4.3 Construction of the European Weather Index; 3.5 Empirical Results; 3.5.1 Impact of Regulations on Carbon Price: Univariate Analysis; 3.5.1.1 The Financial Crisis and Its Impact on the Carbon Price Dynamics; Pre-Crisis Subsample (22/04/2005 to 16/08/2007); Full-Crisis Subsample (17/08/2007 to 30/06/2011); 3.5.1.2 Structural Break Test; Subsample 1 (22/04/2005 to 26/12/2006); Subsample 2 (27/12/2006 to 21/06/2007); Subsample 3 (22/06/2007 to 30/06/2011)
3.5.2 Impact of Regulations on Carbon Price: Multivariate Analysis3.5.2.1 The Financial Crisis and Its Impact on the Carbon Price Dynamics; Pre-crisis Multivariate Model; Full-Crisis Multivariate Model; 3.5.2.2 The Multifactor Model with Structural Breaks; Subsample 1 (22/04/2005 to 17/12/2006); Subsample 2 (18/12/2006 to 04/04/2007); Subsample 3 (05/04/2007 to 30/06/2011); 3.5.3 The Impact of Announcements on Volatility; 3.6 Conclusions; References; 4 Does CO2 Emissions Performance Matter for Stock Prices?; Abstract; 4.1 Introduction; 4.2 Literature Review
4.2.1 Financial Performance and Environmental Information4.2.2 Economic Consequences of EU ETS Compliance; 4.2.3 Relationship Between CO2 Prices and Stock Prices; 4.3 Hypotheses Development; 4.4 Methodology; 4.4.1 Event Study; 4.4.2 Sources of Abnormal Returns; 4.4.3 Environmental Effectiveness of the EU ETS; 4.5 Data; 4.5.1 The Community Independent Transaction Log (CITL); 4.5.2 Sample Construction; 4.5.3 Event Days; 4.5.4 Return-Generating Models for German and British Companies; 4.6 Empirical Results; 4.6.1 Investor Reactions to Unanticipated Changes in the Levels of Actual Emissions