Prêmio de risco carbono no mercado brasileiro: uma análise empírica entre emissões de CO2 e retorno acionário na B3

Abstract

Climate change and the growing pressure for sustainable business practices have intensified the debate on the impacts of carbon emissions on the financial performance of organizations. In this context, this study investigates the existence of a carbon risk premium in the Brazilian stock market, analyzing whether companies with higher levels of greenhouse gas (GHG) emissions achieve superior returns compared to less polluting firms. To this end, portfolios of stocks were constructed based on total emissions, carbon emission intensity, and companies’ participation in the Carbon Efficient Index (ICO2) of B3. The methodology employed included panel data econometric models and statistical tests to assess the significance of return differences among the groups analyzed. The results indicate an incipient stage of carbon risk pricing in the Brazilian market. Hypothesis H₁ was rejected, as a nearly null relationship between returns and emissions was detected. Regarding H₂, only certain differences between portfolios showed statistical significance, thus partially confirming the hypothesis. Finally, H₃, which evaluated the impact of ICO2 participation on stock returns, was rejected, since no significant differences in performance were observed between participating and non-participating companies. In summary, the findings suggest that the Brazilian stock market acknowledges carbon as a risk factor, though still at an early stage of incorporation into asset prices. This outcome highlights a space for further development, in which investors and regulators may play a decisive role in consolidating the pricing of climate risk.