Carbon Risk Premium and Worries about Climate Change and Energy Disruption

This paper sheds light on the impact of public attitudes towards climate change and energy disruption pricing emission (carbon-intensive) clean (low-emission) stocks. We develop a regional indicator worries about using data from European Social Survey Round 8. classify regions as little worried, worried very worried. confirm previous evidence that stocks tend to have higher returns than However, when we focus quoted in exchange markets located with low level disruption, do not find carbon risk premium. Conversely, premium is significant for medium-high quantiles return distribution.