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Effects of draft Climate-related Financial Risks Disclosure Framework on stock returns

Author

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  • Pandey, Dharen Kumar
  • Kumari, Vineeta

Abstract

We use an event study and cross-sectional approach to examine the immediate effects of the Reserve Bank of India's Draft Climate-related Financial Risks Disclosure Framework on the stock market. The findings indicate investor apprehension through initial negative stock market response (a significant -0.62 % abnormal return on the event day) to the disclosure framework. The most affected sectors are the Automobile, Healthcare & Pharma, Information Technology, Media, Oil & Gas, and PSU Banks. The Governance variable adversely influenced post-event returns. Findings also reveal investor confidence in larger, financially robust firms.

Suggested Citation

  • Pandey, Dharen Kumar & Kumari, Vineeta, 2024. "Effects of draft Climate-related Financial Risks Disclosure Framework on stock returns," Finance Research Letters, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:finlet:v:70:y:2024:i:c:s154461232401331x
    DOI: 10.1016/j.frl.2024.106302
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