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Climate policy uncertainty and US industry stock returns: A quantile regression approach

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  • Guillaume Pijourlet

    (Université Clermont Auvergne)

Abstract

This paper examines the impact of climate policy uncertainty (CPU) on US industry stock returns. We document heterogenous impacts of CPU on monthly returns of ten US industries. We find that CPU impacts negatively consumer staples, energy, industrials, financials, and real estate stock returns, but has a positive influence on consumer discretionary and technology stock returns. Our quantile regressions also show that the effect of CPU depends on market conditions. More precisely, higher CPU leads to lower basic materials, consumer staples, real estate and industrials returns in bullish markets, but to higher basic materials and technology returns in bearish markets.

Suggested Citation

  • Guillaume Pijourlet, 2024. "Climate policy uncertainty and US industry stock returns: A quantile regression approach," Economics Bulletin, AccessEcon, vol. 44(1), pages 182-189.
    • Handle: RePEc:ebl:ecbull:eb-23-00473
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    More about this item

    Keywords

    Climate Policy Uncertainty; Industry Stock Returns; Quantile Regressions;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics

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