O risco de carbono é relevante no mercado brasileiro?

The purpose of this study is to analyze the relationship between stock return and the disclosure of carbon emissions in the Brazilian market. International literature has documented a strong correlation between stock returns and carbon emissions on a global scale. There is little evidence on the impact of carbon emissions disclosure on the Brazilian capital markets. Previous studies in the Brazilian market analyzed stock returns for a B3 Carbon Index (ICO2) sample, and they did not find superior stock returns for those firms. This study expands the sample considering all companies that voluntarily disclosed carbon emissions. We also analyze the relation between carbon emissions and stock return. Despite the high level of carbon disclosure by Brazilian companies, the results of this study did not identify carbon premium in the carbon-transition risk in the Brazilian market. This result contradicts prior international evidence. This study contributes to the sustainable finance literature by analyzing the relevance of the disclosure of carbon emissions in the capital markets of an emerging economy.