A prevailing view attributes the “greenium”—the cost-of-capital gap between carbon-intensive and greener firms—to climate risks and investor preferences. We challenge this by showing that oil shocks are pivotal: rising prices, driven by sudden disruptions in global oil supply or oil-demand surge, reduce energy firms' cost of capital by enhancing their growth opportunities, creating a divergence from other brown firms. This energyspecific component explains 20% of greenium fluctuations, peaking at 50%. Reassessing events like the Paris Agreement suggests the impact of investor discipline weakens when oil’s role is considered. Overall, markets price climate risks less effectively than assumed.