Matsumura et al (2012)

Matsumura, Ella Mae, Rachna Prakash, and Sandra C. Vera-Muñoz. “Emit Freely and Keep Silent? Firm-Value Effects of Carbon Emissions and Carbon Disclosures.” Working paper (Wisconsin School of Business, University of Wisconsin-Madison), June 26, 2012.

From the authors’ abstract: “[S]ome informed observers expect that concern about the relationship between carbon emissions and global climate change will drive a redistribution of value from firms that do not control their carbon emissions successfully to firms that do. Using hand-collected carbon emissions data for 2006 to 2008 that S&P 500 firms disclosed voluntarily to the Carbon Disclosure Project, we examine the relationship between carbon emissions and firm value. Correcting for self-selection bias from managers’ choice to disclose carbon emissions, we find that, on average, for every additional thousand metric tons of carbon emissions, firm value decreases by $212,000. Using propensity score matching and doubly robust regression, we also examine the firm-value effects of managers’ decision to disclose carbon emissions. We find that the median firm value of firms that disclose their carbon emissions is about $2.3 billion higher than the median value of non-disclosing firms. Our results indicate that all firms are penalized for their carbon emissions, but firms that do not disclose their emissions face a further penalty for nondisclosure.”

LK comment: See also Krüger (2015) who uses stock price reactions to mandated carbon disclosure in the UK to confirm the “further penalty” for non-disclosing firms described above.