Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Darren Filson

Terms of Use & License Information

Terms of Use for work posted in Scholarship@Claremont.

Rights Information

© 2024 Joanne H Wang


Motivated by the growing importance of sustainable corporate practices on market dynamics, this study aims to quantify the effects of corporate commitments to net zero emissions on the S&P 500 CCA Carbon Credit Index. This index measures the most liquid segment of the carbon credit futures markets, specifically the CCA futures contracts, with pricing data from ICE Futures Pricing. I focus on all 23 publicly traded companies on a U.S. stock exchange participating in the California Cap-and-Trade (CCA) program that have net zero announcements since February 2019. The dependent variable is the index’s daily returns, and abnormal returns are calculated using the Fama/French 5-factor model and [0,1] event windows. The analysis uses the estimated daily abnormal returns in regression models to assess the impacts of firm size, leverage, book-to-market, and industry classification under the CCA program on the abnormal returns.

This study examines five interconnected hypotheses: it tests whether net zero announcements influence the CCA carbon credit index positively, assesses if larger firms wield a greater impact following such announcements, evaluates the specific influence of the 'Crude Petroleum and Natural Gas Extraction' sector, explores the role of firm leverage, and analyzes the effect of a firm’s book-to-market ratio on daily index returns. A point estimate indicates that the 39 net zero announcements have a average positive of 0.16617 per event per day using the [0,1] event window. However, the average impact is not statistically significant at the 5% level. All industry categories are statistically insignificant. The log of total assets has a negative coefficient of 0.0591. The natural log of book-to-market ratio is significant at the 10% level with a coefficient of -0.7541. Firms with a higher book-to-market ratio, which can represent a high amount of assets and potentially high emissions, may drive down carbon credit prices because of investor expectations on imminent operational changes. Since this research is the first examining carbon credit index, the results are exploratory and should prompt further study into the emerging carbon credit market.

This thesis is restricted to the Claremont Colleges current faculty, students, and staff.