Faculty of Business External Research Seminar - Finance - Prof. Yiğit Atılgan

Date: March 14
Time: 13:30-15:00
Location: AB2 345

Speaker: Prof. Yiğit Atılgan (Sabancı University)

Title: Pollution Premium: Further Evidence

Abstract: This paper presents novel empirical evidence related to the pollution premium. First, investors are concerned about whether a firm has higher scaled emissions relative to its industry peers rather than companies in other sectors. Second, it is the emission intensity but not the level of or growth rate in total emissions that is priced in the cross-section. Third, the positive relation between emission intensity and future returns in a multivariate setting is dependent on the inclusion of industry-fixed effects. Fourth, variables that proxy for limits-to-arbitrage and informational frictions do not account for the pollution premium. Fifth, there is no indication that firms with higher scaled emissions produce higher earnings surprises which does not support a mispricing based explanation. Finally, firms with higher emission intensities have lower institutional ownership by investment advisers.