ETD

• brown minus green factor
• carbon dioxide removal
• carbon premium
• carbon risk
• cumulative abnormal returns
• event study
• voluntary carbon markets

This thesis examines how carbon risk and the use of carbon credits are priced in global equity markets using both long‑horizon asset pricing and short‑term event study methods. A Brown‑Minus‑Green (BWG) factor, based on firm carbon intensity, is incorporated into multifactor models for 297 firms across 32 countries (2015–2024). The BWG factor yields a significant premium, about 4.3% annually, especially in high‑emitting sectors like Energy and Materials, and strengthens after 2020, reflecting rising climate transition risk. Event studies of 681 carbon credit retirement announcements show no consistent market reaction overall, but notable heterogeneity by buyer credibility, credit quality, sector, and broker. High‑quality actions are rewarded with mild gains, while low‑quality or poorly signaled retirements face discounts up to 6%. Results suggest carbon intensity drives a priced risk factor, while voluntary credit use signals climate credibility only when implemented with integrity and context awareness.