Informações de carbono importam? Sinalização, regulamentação ambiental e retorno acionário

Abstract

This study investigated the relationship between carbon emissions and stock returns in the Brazilian market, using a sample of 87 financial and non-financial companies listed on B3 from 2014 to 2022. Panel data regressions were applied, with fixed time and sector effects to control for heterogeneity among company groups. The international literature presents consistent evidence that the market demands a carbon premium due to exposure to carbon risk, which arises from uncertainties related to a potential disorderly transition from fossil fuel sources to renewable energy. The national literature, still in its early stages, has not identified significant relationships in carbon-return analyses when examining abnormal returns related in the ICO2 index and carbon emissions by scope. This research introduces a new temporal framework and statistical methods not yet explored, applying various tests in the sample. The results indicate an inversely proportional relationship between total carbon emissions and stock returns, with this relationship fluctuating in response to corporate signals, policies, and regulations that threaten to be severe, leading to the materialization of carbon risk. This relationship was not identified in scope-specific analyses, emissions per unit of revenue, or emissions variation, aligning with the existing evidence in the national literature. This finding suggests a short-term market perspective that remains in an evolutionary stage. This study contributes to the literature by documenting the stance of the Brazilian market on environmental sustainability.