气候变化风险存在股票溢价效应吗

Is There a Stock Premium Effect on Climate Change Risk

全球气候变化背景下,股票市场机会与挑战并存。本文基于2007—2022年沪深两市上市公司年度财务报告数据,利用文本挖掘技术和Word2Vec机器学习算法构建适合中文语境下企业层面的气候风险度量指标,测度结果表明中国企业面临的气候风险呈现波动上升态势,其中超过90%源自转型风险,气候风险存在明显的行业异质性。进一步,运用双向固定效应模型考察了气候风险对公司股票预期收益率的影响。研究发现:整体而言,中国股票市场存在显著且稳定的正向气候风险溢价;分类型检验结果表明气候物理风险存在负向溢价而气候转型风险存在正向溢价;气候风险能够通过提高企业盈利能力、提升投资者情绪和增强媒体关注度三个渠道推升股票收益率;气候风险对非国有企业和低排放企业股票收益率的正向促进效果更为显著。本研究将气候风险的考量引入了资本市场,理论上丰富了气候变化经济效应和股票收益率影响因素的相关研究,实证上拓展了企业层面气候风险测度的定量研究,实践上为我国政府完善气候信息披露机制、企业应对气候变化风险和投资者为气候风险理性定价提供了经验证据和政策参考。

Under the background of global climate change,opportunities and challenges coexist in the stock market.Based on the annual financial report data of listed companies in Shanghai and Shenzhen stock markets from 2007 to 2022,this paper uses text mining technology and Word2Vec machine learning algorithm to construct a climate risk measurement index suitable for enterprises in Chinese context.The measurement results show that the climate risks faced by enterprises in China are fluctuating and rising,and more than 90% of them come from transformation risks,and there is obvious industry heterogeneity in climate risks.Furthermore,using the two-way fixed effect model,this paper investigates the influence of climate risk on the expected return of the company-s stock.The results show that:on the whole,there is a significant and stable positive climate risk premium in China stock market;The results of classification test show that there is a negative premium for climate physical risk and a positive premium for climate transition risk;Climate risk can boost stock returns through three channels:improving corporate profitability,enhancing investor sentiment and enhancing media attention;Climate risk has a more significant positive effect on the stock returns of non-state-owned enterprises and low-emission enterprises.This study introduces the consideration of climate risk into the capital market;which enriches the relevant research on the economic effects of climate change and the influencing factors of stock returns in theory,expands the quantitative research on climate risk measurement at the enterprise level in practice,and provides empirical evidence and policy reference for the Chinese government to improve the climate information disclosure mechanism,enterprises to deal with climate change risks and investors to rationally price climate risks.