ED Entreprise Economie Société
Contribution to carbon knowledge in portfolio management: implications for the cost of equity capital
by Mélanie WASILEWSKI (IRGO - Institut de Recherche en Gestion des Organisations)
The defense will take place at 9h30 - C 107 BAT.C Institut de Recherche en Gestion des Organisations - IRGO PUSG 35, avenue Abadie 33072 Bordeaux cedex
in front of the jury composed of
- Pascal BARNETO - Professeur des universités - Université de Bordeaux - Directeur de these
- Isabelle MARTINEZ - Professeure des universités - Toulouse School of Management (TSM) Université Toulouse 1 Capitole - Rapporteur
- Jean-Laurent VIVIANI - Professeur des universités - Université de Rennes - Rapporteur
- Jérôme CABY - Professeur des universités - Paris Sorbonne - Examinateur
- Jessica FOUILLOUX-THOMASSET - Professeure des universités - Université de Bordeaux - Examinateur
From a financial point of view, the carbon metric is complex to define and measure. Nevertheless, carbon plays a major role in investors' analysis and decision-making strategies, as it has a direct influence on the valuation of companies. The literature shows that the cost of carbon has a significant influence on the cost of equity. This link allows us to set out three major hypotheses based on risk modulation, the search for legitimacy and investor preference. We were able to identify various types of carbon indicator. Our work then consists of associating these hypotheses with the indicators in order to identify different portfolio management strategies. Such strategies are guided by investors' intentions, which vary according to their personal commitment, their level of constraint and their environment. Investors then legitimate their portfolio mix on the basis of different assessments of this data. We show that carbon data modifies the cost of equity capital for European companies listed on the STOXX 600 index. We use the Fama and French model extended to carbon in order to identify the differences between brown and green stocks. In addition, we found that carbon performance is assessed differently depending on the business sector. This finding encourages investors to identify and choose companies that are committed to reducing their carbon emissions, thereby reducing their cost of capital. Keywords: cost of equity capital, carbon emission, investor preference, carbon performance, STOXX 600.