Carbon VIX: A case of decarbonized SPACs

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-10-29 DOI:10.1016/j.frl.2024.106360

引用次数: 0

Abstract

The recent Carbon volatility index (Carbon VIX) by Fuchs, Stroebel, and Terstegge (2024) raises important questions regarding its impact on the financial performance of decarbonizing companies. We investigate the relationship between decarbonized SPACs and the Carbon VIX. While the Decarbonised SPAC Index does not exhibit a statistically significant linear relationship with the Carbon VIX, a regime-shifting approach indicates a positive association in low-volatility environments. Furthermore, carbon prices show a positive effect in low price regimes. We highlight the importance of considering regime shifts and non-linear effects when assessing the impact of volatility and price dynamics on decarbonized SPAC performance.

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

碳VIX：去碳化 SPAC 案例

最近，Fuchs、Stroebel 和 Terstegge（2024 年）提出的碳波动指数（Carbon VIX）引发了有关其对去碳化公司财务业绩影响的重要问题。我们研究了去碳化 SPAC 与碳 VIX 之间的关系。虽然去碳化 SPAC 指数与碳 VIX 指数在统计上没有显著的线性关系，但制度转换方法表明，在低波动环境下两者之间存在正相关。此外，碳价格在低价格体制下也显示出积极的影响。我们强调了在评估波动性和价格动态对去碳化 SPAC 业绩的影响时，考虑制度转换和非线性效应的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文去求助

来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance

期刊最新文献

Bank credit in the digital age: Expansion or excessive expansion? The icing on the cake: ESG effect on the quality factor portfolios Moderating role of voluntary IFRS adoption on earnings management and credit score of private companies Carbon VIX: A case of decarbonized SPACs The impact of CEO reputation on ESG performance in varying managerial discretion contexts