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| 碳风险对资产定价的影响研究——基于中国A股市场的检验 |
| The Impact of Carbon Risk on Asset Pricing: An Empirical Study Based on the Chinese A-share Market |
| 投稿时间：2024-05-10 修订日期：2024-07-11 |
| DOI： |
| 中文关键词: 碳风险 资产定价 Fama-French三因子模型 碳排放 碳绩效 |
| English Keywords:carbon risk Asset pricing Fama-French Three-Factor Model Carbon emissions Carbon emission performance |
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| 中文摘要: |
| 与发达国家碳排放“自然达峰”过程不同,中国是高质量发展背景下的碳约束主动达峰,政策驱动特征更加突出。在此背景下,研究中国A股市场中碳排放风险是否为资产定价的重要因素,碳排放风险如何影响企业股票收益率成为了十分重要的课题。因此,本文选取2013年至2022年的月度数据,在Fama-French三因子模型的基础上分别引入碳排放水平因子和碳绩效因子构建碳风险因子扩展模型,研究企业碳排放风险影响中国A股市场收益率的途径。实证结果表明,①两种碳风险因子扩展模型均能很好的刻画中国股票市场中的碳风险情况；②市场对不同碳排放水平和碳绩效水平的企业抱有不同看法：市场中同时存在“高碳排放溢价”和“绿色激励”两种效应,并且随着企业规模的增加会同时放大这两种效应。有趣的是,在规模较大的企业中,过高的碳排放风险会引起市场的担忧,从而损害此类股票的市场表现；相反,较高的碳绩效水平会使得市场认可其绿色发展前景,从而大大降低对企业的碳风险预期。因此,为使投资者对碳风险的定价更为准确,建议有关部门尽快制定统一的碳信息披露标准、搭建碳信息披露平台,增强信息披露的市场监督力、降低企业碳信息披露成本,并且做好碳排放历史信息披露的追溯工作。 |
| English Summary: |
| In contrast with developed countries "natural peak" process for carbon emissions, China's active implementation of a high-quality development strategy has led its approach towards reaching a peak in controlling carbons under a distinctly policy-driven framework. Given this context, it becomes imperative to examine whether Carbon Emission Risk (CER) plays a significant role in asset pricing within China's A-share Market and its impact on corporate stock returns during our selected period from 2013-2022. To achieve this goal we have constructed an expanded model incorporating CER into Fama-French three-factor model separately through quarterly data analysis. The empirical findings reveal: 1) Both models integrating extended CER factors effectively capture prevailing conditions pertaining to CERs across Chinese equity markets. 2) Diverse perceptions prevail among investors regarding companies exhibiting differing levels of Carbon Emissions & Performance - resulting in simultaneous presence of 'High-Carbon Emission Premiums' alongside 'Green Incentives'. These effects are further magnified as firm sizes increase; wherein elevated CER poses concerns impacting stock performances negatively whereas superior Carbon Performance garners increased investor confidence towards green prospects whilst diminishing future emission-related risks expectations. To ensure precise evaluation by investors concerning these inherent risks linked with CERs', we recommend prompt establishment & enforcement by regulatory bodies standardizing disclosure norms relating to such matters along with dedicated platforms facilitating such disclosures - thus enhancing oversight over information dissemination while minimizing disclosure costs borne by firms themselves. Additionally, concerted efforts must be directed at reviewing historical disclosures tied up with CERs so as refine them suitably. |
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