The informational contents of announcements on verified emissions in the EU ETS - An empirical investigation using a multi-country event study approach

Empirical studies on the relation of the European Union Emissions Trading Scheme (EU ETS) and its impact on stock prices of affected companies concentrate so far mostly on the mechanism between emissions allowance (EUA) price and stock returns. This study in contrast examines the relation of stock returns and the announcement on verified emissions (VE). We use event study methodology and find on the 15th of May 2006, the first time when allocation could be justified, a negative cumulated and significant impact of the announcement of VE on stock returns and a positive cumulated (and marginal significant) impact on the 28th of April 2008, the last announcement of VE in the first period. Using the results from the event-study for cross sectional analysis we find evidence for a change in how announcements on VE were incorporated in stock markets.