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O impacto das emissões de carbono na rendibilidade das ações: Evidência europeia
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Abstract(s)
Nos últimos 200 anos, as atividades humanas resultaram na emissão de grandes quantidades
de dióxido de carbono (CO₂) para a atmosfera, contribuindo para o aumento da temperatura
global e para a intensificação de fenómenos climáticos extremos. Assim, as preocupações
com o ambiente têm ganho cada vez mais relevância nas decisões de investidores e empresas.
Uma das grandes questões centrais consiste em saber se os mercados financeiros penalizam
as empresas mais poluentes ou, pelo contrário, se estas oferecem rendibilidades superiores
aos acionistas.
Esta dissertação analisa o impacto das emissões de carbono na rendibilidade das ações de
empresas que integram o índice STOXX Europe 600, entre 2014 e 2024. Para isso, recorreuse
a uma abordagem quantitativa com modelos de regressão de dados em painel e efeitos
fixos, que permite controlar características específicas das empresas e variações ao longo do
tempo. São considerados tanto o nível absoluto das emissões como a sua intensidade.
Os resultados mostram que as empresas com maiores níveis de emissões tendem a apresentar
rendibilidades inferiores, o que sugere a existência de um prémio verde nos mercados
acionistas europeus. No entanto, este efeito está concentrado nas empresas menos poluentes,
que beneficiam de um bónus de rendibilidade, e não numa penalização direta das mais
poluentes. Já a intensidade de emissões não revelou um impacto estatisticamente
significativo nas rendibilidades, embora se tenham identificado indícios de um prémio de
carbono. A análise setorial confirma ainda que esta relação não é uniforme, mas depende da
atividade económica em causa.
No geral, o estudo acrescenta uma perspetiva diferente em finanças sustentáveis, ao destacar
a importância de considerar os extremos da distribuição e as especificidades setoriais. Os
resultados obtidos são também relevantes, ao evidenciarem que as práticas ambientais já têm
reflexo nos mercados financeiros europeus, embora ainda de forma limitada, e devem ser
integradas nas estratégias de decisão num contexto de transição climática.
Over the past 200 years, human activities have released large amounts of carbon dioxide (CO₂) into the atmosphere, contributing to the rise in global temperatures and the intensification of extreme weather events. As a result, environmental concerns have gained increasing relevance in the decision-making of investors and companies. A key question is whether financial markets penalise more polluting companies or, conversely, whether these companies offer higher returns to shareholders. This dissertation examines the impact of carbon emissions on the stock returns of companies included in the STOXX Europe 600 index between 2014 and 2024. A quantitative approach was employed, using fixed-effects panel regression models that control for firm-specific characteristics and time variations. Both the absolute level of emissions and their intensity are considered. The results show that companies with higher levels of emissions tend to present lower returns, which suggests the existence of a green premium in European stock markets. However, this effect is concentrated in the less polluting companies, which benefit from a return bonus, rather than a direct penalty for the more polluting ones. Emission intensity did not reveal a statistically significant impact on returns, although some signs of a carbon premium were identified. The sectoral analysis further confirms that this relationship is not uniform but depends on the economic activity in question. Overall, the study adds a differentiated perspective to sustainable finance by highlighting the importance of considering both the extremes of the distribution and sectoral specificities. The results are also relevant as they show that environmental practices are already reflected in European financial markets, albeit still in a limited way, and should be integrated into decision-making strategies in the context of the climate transition
Over the past 200 years, human activities have released large amounts of carbon dioxide (CO₂) into the atmosphere, contributing to the rise in global temperatures and the intensification of extreme weather events. As a result, environmental concerns have gained increasing relevance in the decision-making of investors and companies. A key question is whether financial markets penalise more polluting companies or, conversely, whether these companies offer higher returns to shareholders. This dissertation examines the impact of carbon emissions on the stock returns of companies included in the STOXX Europe 600 index between 2014 and 2024. A quantitative approach was employed, using fixed-effects panel regression models that control for firm-specific characteristics and time variations. Both the absolute level of emissions and their intensity are considered. The results show that companies with higher levels of emissions tend to present lower returns, which suggests the existence of a green premium in European stock markets. However, this effect is concentrated in the less polluting companies, which benefit from a return bonus, rather than a direct penalty for the more polluting ones. Emission intensity did not reveal a statistically significant impact on returns, although some signs of a carbon premium were identified. The sectoral analysis further confirms that this relationship is not uniform but depends on the economic activity in question. Overall, the study adds a differentiated perspective to sustainable finance by highlighting the importance of considering both the extremes of the distribution and sectoral specificities. The results are also relevant as they show that environmental practices are already reflected in European financial markets, albeit still in a limited way, and should be integrated into decision-making strategies in the context of the climate transition
Description
Keywords
Emissões de carbono Sustentabilidade empresarial Rendibilidade das ações Impacto ambiental ESG