Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Using CO2 Emission Allowances in Equity Portfolios
Stockholm Business School, Stockholm University, Stockholm, Sweden.
Stockholm Business School, Stockholm University, Stockholm, Sweden.ORCID iD: 0000-0002-1014-9592
Stockholm Business School, Stockholm University, Stockholm, Sweden.
2016 (English)In: Handbook of Environmental and Sustainable Finance / [ed] V. Ramiah & G. N. Gregoriou, Elsevier, 2016, p. 359-370Chapter in book (Other academic)
Abstract [en]

In this chapter, we show that while the carbon emission allowance futures market, which is still emerging, has gained relative little popularity among investors it can present attractive diversification opportunities for investors. Our findings show that the exposure of these futures returns to equity returns as well as the value factor is low but increases with stock market stress. As our further analysis suggests that investors can also profit from negative convenience yield in carbon emission futures by taking short positions in them, the strategy can be an attractive addition to equity portfolios. We note that potential reasons for the lack of popularity are poor liquidity, lack of investors' attention to the investments, investment ambiguity, and investment constraints. Nevertheless, carbon emission allowances and environmental investments of its kind can be important portfolio diversifiers in future. 

Place, publisher, year, edition, pages
Elsevier, 2016. p. 359-370
Keywords [en]
Carbon emissions market, Carbon investors, Cleveland financial stress index, Emissions trading scheme, Futures contract, Portfolio diversification
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-51127DOI: 10.1016/B978-0-12-803615-0.00017-0Scopus ID: 2-s2.0-84967166450ISBN: 9780128036150 (print)OAI: oai:DiVA.org:hj-51127DiVA, id: diva2:1506516
Available from: 2020-12-03 Created: 2020-12-03 Last updated: 2020-12-03Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records

Hasselgren, Anton

Search in DiVA

By author/editor
Hasselgren, Anton
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
isbn
urn-nbn

Altmetric score

doi
isbn
urn-nbn
Total: 59 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf