Maria Francisca Carvalho

Work in Progress  

• Corporate Failure Prediction in the U.S. Energy Sector: A Survival Analysis Approach

  • Abstract: Are energy firms more prone to corporate failure than non-energy firms? What firm-specific, macroeconomic, and environmental factors significantly influence the failure risk of energy firms? This paper investigates the risk of corporate failure in energy and highly dependent energy firms compared to non-energy counterparts in the U.S. through a logit and survival analysis technique using the Cox proportional hazard model. Our findings reveal that U.S. energy firms do not exhibit a uniformly higher or lower failure risk compared to non-energy firms. Instead, the failure risk for energy firms is influenced by specific factors. Energy firms face distinct challenges related to capital structure and input costs, making their failure risk more context-dependent compared to non-energy firms. They are more prone to failure due to financial leverage and volatility in input prices, but less affected by the size-related risks compared to non-energy firms. The study also highlights the predictive power of the ESG score indicator and CO2 emissions for corporate failure. Although both energy and non-energy firms are sensitive to accounting and environmental indicators, there are notable differences in the magnitude and direction of these sensitivities between the firm types.

  • Presented at: Sustainable Financial Innovation Centre (SFiC) Annual Conference, November 2023, University of Birmingham, Dubai, United Arab Emirates; 4th Italian Workshop of Econometrics and Empirical Economics: Climate and Energy Econometrics” (Bolzano-Bozen 25-26 January 2024); 2024 RCEA International Conference in Economics, Econometrics, and Finance from the 20th of May to the 22nd, in London;  The 4th CIBES Conference, in Rome from 20th to the 22nd of June; NWSSDTP PhD Conference (2024) in Lancaster University; New Castle Workshop on Sustainable Finance, 1st of July of 2024. 

• From Climate to Economy: Understanding Climate Risks in the U.S. Market

  • Abstract: To what extent do asset markets effectively price climate risk focusing on the responsiveness of U.S. firms to climate change? How does the implementation of climate policies across diverse U.S. states influence national-level transition risks, and are these risks adequately factored into market valuations of U.S. firms? The primary aim of our research is to delve into the extent to which asset markets accurately price climate risk, with a particular focus on climate transition and physical risk. Specifically, our aim is to investigate whether U.S. firms' proactive responses to climate-related challenges are adequately reflected in market valuations. A crucial aspect of our research contribution lies in the integration of a climate change indicator at the state level into our model. It is imperative to acknowledge that not all U.S. states are equally equipped to respond to the policy void created by federal inaction in the U.S. This necessitates a nuanced approach to risk measurement. The challenge lies not in disentangling state risk from nationwide risk, but rather in recognising the significance of state-level information. By incorporating state-level risks into our analysis, we aim to highlight their importance in optimising portfolios. Neglecting state-level risks renders portfolios suboptimal, as it represents a critical risk factor that cannot be overlooked. Our results show that U.S. climate policy uncertainty and economic conditions significantly explain portfolio returns. State-level factors such as temperature anomalies, economic policy uncertainty, and economic conditions offer deeper insights into risk and performance, with temperature anomalies notably affecting returns. These findings emphasize the importance of integrating state-level climate risks into portfolio strategies for better risk management.

  • Presented at: Sustainable Financial Innovation Centre (SFiC) Annual Conference, November 2024, University of Birmingham, Dubai, United Arab Emirates; The Second International Conference on the Climate-Macro-Finance Interface: "New Environmental Challenges for Monetary, Fiscal, and Macroprudential Policy", Bayes University London, 16th and 17th of January 2025. 

Blog Posts: 

• Rebuilding Economies After Natural Disasters: What Does The Data Say? 

• The Green Economy: Can Sustainable Investments Drive Growth?

• The Interest Rate Rollercoaster: How High Will They Go?

• Emerging Market Challenges Amid U.S Dollar Strengths

• Stock Market Extremes in 2024 

• Data Science: A Necessity, Not an Option