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Carbon Neutrality Commitment Announcements and Subsequent Stock Returns

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  • Michal Vyletelka

Abstract

This paper investigates the reaction of the stock market to corporate carbon neutrality (CN) announcements using a global dataset of 887 earnings call disclosures between 2019 and 2024. Employing event-study style comparisons, industryadjusted returns, and Fama-French factor models, the analysis reveals that CN commitments have limited short-term effects, but are associated with statistically significant negative abnormal returns over a 12-month horizon. The results suggest that investors perceive carbon neutrality pledges as credible signals of future cost burdens rather than value-enhancing strategies. The findings also highlight sectoral and temporal heterogeneity: technology, energy and materials firms exhibit positive return premia, while utilities and real estate underperform; longer-dated CN commitments (post-2040) are priced more favorably than near-term commitments. Regional effects largely disappear once the sector composition is controlled, underscoring the primacy of industry dynamics in shaping market responses.

Suggested Citation

  • Michal Vyletelka, 2026. "Carbon Neutrality Commitment Announcements and Subsequent Stock Returns," FFA Working Papers 6.005, Prague University of Economics and Business, revised 24 Aug 2026.
    • Handle: RePEc:prg:jnlwps:v:6:y:2026:id:6.005
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    1. Masood Tadi & Milan Fičura & and Jiří Witzany, 2026. "Natural Gas Storage Valuation Using Deep Reinforcement Learning," FFA Working Papers 6.003, Prague University of Economics and Business, revised 12 Jun 2026.
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