碳排放信息披露与投资者回报

Carbon Emission Information Disclosure and Investor Returns

随着气候变化导致的环境事件频发,碳排放问题逐渐转变为影响全球经济发展的重要因素之一。目前,中国尚未在国家层面对企业碳排放信息披露作出强制规定,A股上市公司的碳排放信息整体处于自愿披露状态,而香港联交所上市公司自2016年起需满足“不遵守就解释”的强制性披露要求。基于上述背景,文章选取2016—2019年A股上市公司为样本,运用PSM配对样本的方法,对企业是否自愿披露碳排放信息和投资者回报的关系进行研究。实证结果表明:与不披露的企业相比,自愿披露碳排放信息的企业股票收益率更高,股票波动率更低,且上述效应在高碳排放行业的企业中更加显著;进一步对A+H上市公司的碳排放信息披露深度进行量化评分后发现,企业碳排放信息披露水平越高,股票收益率越高、波动率越低。因此,碳信息披露对投资者回报有重要影响,这有利于促进企业管理者重视披露碳信息,也有助于中国证券市场ESG投资理念的转变。

With more and more environmental events caused by climate change,carbon emissions have gradually become one of the most important factors affecting global economic development.Countries around the world have taken measures to control carbon emissions.At present,our country has not made compulsory regulations of carbon disclosure for listed companies.The carbon disclosure of A-share listed companies is voluntary,while companies listed on the Hong Kong Stock Exchange have to meet the compulsory disclosure of“Comply or Explain”since 2016.This paper selects A-share listed companies from 2016 to 2019 as samples and uses Paired Sample Method to study the relationship between carbon disclosure and investor returns.The empirical results show that:(1)companies that voluntarily disclose carbon emission information have higher stock returns and lower stock volatility compared with companies do not disclose.And the above effects are more significant in companies with high carbon emission;(2)by quantifing the disclosure depth of carbon emission information of A+H share companies,higher the level of carbon disclosure,the higher the stock return and the lower the volatility.The results of this paper show that carbon disclosure has an important impact on investor returns,which helps promote managers of companies to pay attention to carbon disclosure and also contributes to the transformation of ESG investment concept in our capital market.