Working papers
Working papers
Pricing of green regulatory and technological risks, Job Market Paper
I use text analysis of U.S. firms’ press releases to build measures of their exposure to environmental regulation risk and to risks associated with green technologies. I estimate the associated regulation and technological risk premia. The time series of these risk premia reveal three findings. First, the regulation and technological risk premia are negatively correlated. Second, under Democrat administrations, firms more exposed to regulation risk command higher expected returns and firms more active in green innovation lower expected returns. Under Republican control, the regulatory risk premium disappears and the technological risk premium switches sign. Third, environmental regulations tend to be followed by a decrease in the technological risk premium. I introduce a tractable consumption-based asset pricing model, which features both regulation and innovation risks and captures these empirical results well. The model underlines the crucial role of innovation in the transition to a low-carbon economy.
Presentations: HEC 8th PhD Workshop, CFE-CMStatistics 2024 (upcoming), CMAP-CREST Quantitative Sustainable Economics and Finance seminar (upcoming)
A greenwashing index, with Elise Gourier
We construct a news-implied index of greenwashing. Our index reveals that greenwashing has become particularly prominent in the past five years. Its increase was driven by skepticism towards the financial sector, specifically ESG funds, ESG ratings and green bonds. We show that greenwashing impacts investors' behavior. Unexpected increases in the greenwashing index are followed by decreases of flows into funds advertised as sustainable, both for retail and institutional investors. They furthermore bias the estimation of stocks' beta on climate risk, distorting the estimated climate risk premium. When accounting for greenwashing, the climate risk premium becomes small and statistically insignificant.
Presentations: SKEMA*, Vienna Graduate School of Finance*, 5th International Workshop in Financial Econometrics*, Brazil, HEC-HKUST Sustainable Finance Webinar, Sciences-Po HEC Summer Workshop in Sustainable Finance*, NEOMA Conference on Sustainable Finance, 3rd Spring Finance Workshop, Ischgl Austria, 17th Financial Risks International Forum, Paris, 8th ESSEC Asset Pricing Breakfast, , 4th Annual Bristol Financial Markets Conference, University of Liverpool*, FinEML Conference 2024 of University of Lugano, 7th Banco de Espana Annual Research Conference*, Green Finance Research Advances*, Paris (upcoming)
(* presented by coauthor)
Media: Agefi (25/04/2024)
Asset pricing in a quadratic equilibrium model without disasters, with Elise Gourier
Greenwashing in Europe: the Case of France, with Elise Gourier
Firm-level greenwashing, with Elise Gourier