Carbon efficient index and company's value in Brazil.

• Author: Guasti Lima, Milena Moscardini Nabelice

1 INTRODUCTION

The whole world puts a lot of money into motion during a year in its most varied forms of investments of a country in companies that worry about, and the ones that don't, the effects caused to the environment by their mass production. According to the World Federation of Exchanges more than US$ 113 trillion in stocks, futures and options were negotiated in their 51 Stocks exchanges in 2008. The 46,000 or more companies with registration in the Exchange presented a market capitalization total of over US$ 33 trillion.

And a great part of this whole financial volume is negotiated in the world under the most different forms and it comes from companies of the most distinct sectors of the economy. Stocks, commodities, terms, futures are negotiated under the most distinct financial and farming and raising products. However, The true concern about the free emission of CO2 is not really known in the world economy, causing, this way, the increase in the so called and already known greenhouse effect.

Thus, the creation of mechanisms to verify and control the CO2 emission in the atmosphere would be a way to reduce and stipulate clearer rules on this process. This way, every company which helps in the reduction of pollutant emission in the planet can be indemnified through carbon credits.

The Carbon Credits (CC) or Certified Emission Reduction (CERs) are certificates issued by companies when they reduce the carbon emission of the Greenhouse effect gases (GEE). By agreement, a ton of carbon dioxide (CO2) equivalent corresponds to a carbon credit. This credit can be negotiated in the international market giving a financial value to the pollution reduction.

A company which buys one of these carbon credits is directly financed by projects which reduce the harmful consequences of the greenhouse effect by actions such as reforestation, technologies of GEE reduction in the atmosphere for the less-prepared companies, improvements in the mechanisms of transport control, among others.

And, in order to increase the credibility of this trade, the stock exchanges are creating the so-called Carbon Index for the market of open companies as a whole aiming to amplify the transparency of the information and attitude disclosure of each company in the taskwork of reducing those GEEs.

In the United States, there has been, since September 17th, 2004, the S&P U.S. Carbon Efficient Index created by Standard & Poors according its own criteria for the less pollutant companies. And recently, on September 1st, 2010, the Carbon Efficient Index (ICO2) was launched in Brazil ballasted by the IBr-X50 portfolio which measures the total return of a theoretical portfolio composed of the 50 most negotiated stocks in the Brazilian Exchange in terms of liquidity, pondered in the portfolio by the market value of the stocks. The ICO2 portfolio takes into account, in the ponderation of the participating stocks, the companies' GEE emissions. Through the ICO2 methodology, the theoretical portfolio must be quadrimonthly rebalanced based on the...