This study investigates the impact of announcements relating to climate change mitigation in the US on the Energy Select Sector ETF (XLE), starting with the US president's net zero emissions announcement on 22 April 2021. We use options market data, in addition to ETF market data, to disaggregate the news effect and value effect of the announcement, finding a positive news effect ($1.65 billion) but a negative value effect (−$2.02 billion). The novel approach proposed by Barraclough et al. (2013) is adopted to identify traders' perceived probability of the achievement of net zero emissions as perceived by investors, finding that investors assigned a 30.9 % probability. Given the difficult journey of the passage of the net zero bill through Congress, we also examine the investors' perceived probability of achievement of later initiatives, as well as their news and value effects. Estimation around the introduction of the Inflation Reduction Act (IRA) in Congress on 27 October 2021 shows a positive news effect ($824.61 million) and an almost analogous, negative value effect (−$2.32 billion). The news effect is a result of the signal to the market that reduces policy uncertainty and enables fossil fuel firms to plan with greater certainty the transition to clean energy and the value effect comes from the fact that some reserves may not be able to be extracted and some assets will be stranded. This study finds if the net zero emissions announcement is successfully enacted as legislation, the value of XLE would be 96.90 % of its current value while a failure to become legislation leads to a rise in the value of XLE to reach 106.90 % of its current value.

中文翻译：

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美国净零排放公告的财富效应


本研究从美国总统于 2021 年 4 月 22 日宣布净零排放开始，调查了美国与减缓气候变化相关的公告对能源精选行业 ETF （XLE） 的影响。除了 ETF 市场数据外，我们还使用期权市场数据来分解公告的新闻效应和价值效应，发现正面新闻效应（16.5 亿美元）但负价值效应（−20.2 亿美元）。采用 Barraclough 等人（2013 年）提出的新方法来确定交易者对投资者实现净零排放的感知概率，发现投资者分配的概率为 30.9%。鉴于国会通过净零法案的艰难历程，我们还研究了投资者对实现后续举措的感知可能性，以及它们的新闻和价值影响。围绕 2021 年 10 月 27 日国会引入《通胀削减法案》（IRA） 的估计显示，积极的新闻效应（8.2461 亿美元）和几乎类似的负面价值效应（-23.2 亿美元）。新闻效应是向市场发出信号的结果，它减少了政策的不确定性，使化石燃料公司能够更确定地规划向清洁能源的过渡，而价值效应则来自于一些储量可能无法提取，一些资产将搁浅的事实。本研究发现，如果净零排放公告成功作为立法颁布，XLE 的价值将是其当前价值的 96.90%，而未能成为立法会导致 XLE 的价值上升到其当前价值的 106.90%。