企业碳排放与股票收益--绿色激励还是碳风险溢价

Corporate Carbon Emissions and Stock Returns:Green Incentive or Carbon Risk Premium?

从行业碳排放的视角,用投资组合和因子研究两种方法对企业碳排放与投票收益的相关性问题进行分析,结果显示,中国股票市场在2013—2014年间经历了从绿色激励到碳风险溢价的逆转:2012—2014年间,碳排量低的企业股票能获得显著的绿色激励,而2013—2017年间,碳排放量高的企业股票存在显著的碳风险溢价;在模型中加入碳排放权价格因子发现,碳排放权价格因子能一定程度上吸收2013—2017年间的碳风险溢价,说明2013年来在全国范围内陆续建立的碳排放权交易所能增加市场碳风险溢价。为保障股票市场中的绿色激励,需要尽快展开企业绿色信息公开、绿色等级评级分类等工作,并在此基础上逐步构建完善的绿色金融服务体系。

Based on 2009-2019 data of listed companies in China and from the angle of industrial carbon emissions,this study analyzed the correlation between corporate carbon emissions and stock returns using portfolio and factor research.The results showed that the Chinese stock market experienced a reversal from green incentive to carbon risk premium during 2013-2014.From 2012 to 2014,the stocks of enterprises with low carbon emissions could get significant green incentives,while from 2013 to 2017,the stocks of those with high carbon emissions had a significant carbon risk premium.The inclusion of the price of carbon emission permits in the model somewhat mitigated the carbon risk premium during 2013-2017,which explains why carbon exchanges that were set up nationwide from 2013 increased the carbon risk premium in the market.To maintain the green incentive in the stock market,it is recommended to accelerate work such as corporate green information disclosure and green rating classification to build a sound system of green financial services.