气候风险影响权益资本成本吗?——来自中国上市公司年报文本分析的经验证据

Does Corporate Climate Risk Affect the Cost of Equity?——Evidence from Textual Analysis with Machine Learning

本文采用文本分析和机器学习技术构建了气候风险指标来研究气候风险对权益资本成本的影响。对2007年至2020年的3215家中国A股上市公司样本进行实证分析表明,气候风险会导致企业权益资本成本升高,该结果在一系列稳健性检验下依然成立。机制研究发现,降低信息不对称程度、吸引机构投资者、多元化经营以及使用衍生金融工具可以缓解气候风险对权益资本成本的负面影响。进一步研究发现,转型风险与权益资本成本显著正相关,而物理风险对权益资本成本的影响并不显著;气候风险与权益资本成本的关系在高碳企业与低碳企业中存在显著差异。本文进一步拓展了气候风险经济后果的有关文献,就如何应对气候风险以及缓解其对权益资本成本的负面影响具有重要的实践启示。同时,本文将文本分析和机器学习方法引入气候风险的度量,丰富了气候风险的定量研究。

This paper employs textual analysis and machine learning techniques to construct a climate risk indicator,aiming to examine the influence of corporate climate risk on the cost of equity capital.The empirical analysis is conducted on a sample of 3,215 Chinese A-share listed companies spanning the period from 2007 to 2020.The findings reveal that corporate climate risk is associated with an increase in the cost of equity capital,and this result withstands various robustness tests.The mechanism analysis uncovers that reducing information asymmetry,attracting institutional investors,diversifying operations,and employing derivative financial instruments can help alleviate the adverse impact of corporate climate risk on the cost of equity capital.Furthermore,the study distinguishes between transition risk and physical risk(including acute and chronic risks)and establishes that transition risk has a significantly positive relationship with the cost of equity capital,whereas the impact of physical risk is not significant.Additionally,the relationship between corporate climate risk and the cost of equity capital varies significantly between high-carbon and low-carbon firms.This paper contributes to the existing literature by extending and complementing the analysis of the economic consequences of corporate climate risk,providing valuable practical insights on managing climate risk and mitigating its negative effects on the cost of equity capital.Moreover,it introduces textual analysis and machine learning methodologies to enhance the quantitative examination of corporate climate risk.