Abstract
This article provides first evidence on the capital market effects of the EU Taxonomy Regulation (TR). The TR introduced a new classification scheme to identify companies with environmentally sustainable economic activities. The results offer support for a significant estimated TR alignment premium, compatible with the interpretation that investors already apply the TR and allocate capital to TR-aligned companies. This effect strengthens with an increase in investor attention. We also find significant cross-sectional variation in abnormal stock returns surrounding the publication date of the TR conditional on the degree of estimated TR alignment. Traditional ESG ratings cannot explain the TR premium. Copyright © 2024 The Author(s).
| Original language | English |
|---|---|
| Article number | 107339 |
| Journal | Journal of Banking and Finance |
| Volume | 170 |
| Early online date | Nov 2024 |
| DOIs | |
| Publication status | Published - 2025 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 3 Good Health and Well-being -
SDG 11 Sustainable Cities and Communities -
SDG 13 Climate Action
Keywords
- Corporate social responsibility
- EU taxonomy regulation
- Green assets
- Stock returns
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