控排企业碳市场收益测度与战略选择

Return Measurement and Strategic Choice for Emission Control Firms in Carbon Market

为早日实现碳减排目标,中国政府自2013年起陆续建设碳交易试点,并于2021年启动全国碳排放交易市场,目的在于通过市场手段增加控排企业碳排放压力并激发其减排投资意愿。碳价格的引入要求控排企业根据自身发展需求参与碳市场投资,以此降低交易风险。已有研究聚焦于对碳市场建设规则和碳试点运营效率的制定和评价,较少从企业收益视角剖析碳市场带来的机遇和挑战。从企业视角出发,假设控排企业均为风险厌恶型,且均以证券投资方式抵消碳市场风险。基于此,运用随机微分方程拟合碳价格和股票价格,并以完备市场条件下风险对冲为标准测量不同规模控排企业参与碳市场交易的终期收益。选择上海环境能源交易所碳现货价格为研究对象进行实证检验,量化碳市场参与程度与企业终期收益之间的关系。研究结果表明,现阶段中国碳市场运营有利于控排企业实现技术升级和节能减排。但由于碳价格的波动性和实际交易的聚集性,不同资本规模的控排企业其碳交易终期收益存在差异。资本雄厚且可完全对冲交易风险的控排企业获得的回报明显高于部分对冲交易风险的控排企业。同时,当前碳市场的投资意义较弱,不同规模的控排企业需要在详查自身碳排放基础上,提升碳资产管理能力,并制定符合企业能力水平和未来规划的碳市场投资策略,运用碳交易工具解决因减排投资不足而制约企业长期发展的问题。研究结果有助于控排企业明确碳市场风险、量化碳市场收益,为控排企业根据其自身发展阶段参与碳市场交易提供理论依据和实践选择。

In order to achieve the emission reduction goal as soon as possible,Chinese government has successively established several carbon trading pilots,and launched the national carbon emission trading market in 2021,focusing on increasing the stress of carbon emission control firms assisted by market tools and thus stimulating such firms′willingness to invest in carbon emission reduction.The emergence of carbon price suggests carbon emission control firms involving in carbon market investment basing on own development needs,which helps reduce trading risks.Prior literature focused on the formulation and evaluation of carbon market construction rules and pilot market operations efficiency,while rarely analyzed the opportunities and challenges brought by the carbon market from the perspective of firms′returns.From the perspective of firms,this study assumed that the carbon emission control firms are risk-averse and would offset the carbon market risk by portfolio.Then we use the stochastic differential equation to simulate the carbon price and stock price;and calculate the terminal income of carbon emission control firms in different capital scales that involve in carbon trading according to risk hedging under the condition of complete market.The empirical analysis selects the carbon spot price of Shanghai Environment and Energy Exchange as the research target,and then quantify the relationship between carbon market involvement and terminal income of carbon emission control firms.The results of this study indicate that,currently,the development of China′s carbon market promotes the technology upgrading and energy conservation and emission reduction of emission control firms.While due to the volatility of carbon prices and the aggregation of actual carbon trading,the return of carbon emission control firms with abundant capital and full hedging of trading risk is significantly higher than that of small-and medium-sized firms with only partial hedging of trading risk.Meanwhile,the significance of carbon market investment is weak at present.Carbon emission control firms of different sizes need to improve their management capacity of carbon assets on the basis of detailed inventory of their own carbon emissions,develop carbon market investment strategies in line with firms′capability levels and future planning,and use carbon trading tools to solve the lack of emission reduction investment that restricts the long-term development of carbon emission control firms.The conclusions of this study help carbon emission control firms to clarify carbon market risks and quantify carbon market incomes.They also provides theoretical underpinnings and practical options for carbon emission control firms to involve in carbon trading according to their own development stage.