Görgen et al (2018)

Görgen, Maximilian, Andrea Jacob, Martin Nerlinger, Ryan Riordan, Martin Rohleder, and Marco Wilkens. “Carbon Risk.”  Working paper (University of Augsburg), 2018.

From the authors’ abstract: “Based on a unique sample of 1,600 global firms with comprehensive carbon risk proxies from four major ESG databases, we construct a carbon risk factor from stock returns of brown and green firms. This factor can be used in established factor models to estimate Carbon Beta as a straightforward measure for carbon risk absent any firm specific carbon risk information. Estimating Carbon Betas for more than 39,000 firms, we report the carbon risk of portfolios, industries, and countries.”

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2930897