Carbon Returns across the Globe

IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Journal of Finance Pub Date : 2024-10-22 DOI:10.1111/jofi.13402
SHAOJUN ZHANG
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Abstract

The pricing of carbon transition risk is central to the debate on climate‐aware investments. Emissions are tightly linked to sales and are available to investors only with significant lags. The positive carbon return, or brown‐minus‐green return differential, documented in previous studies arises from forward‐looking firm performance information contained in emissions rather than a risk premium in ex ante expected returns. After accounting for the data release lag, carbon returns turn negative in the United States and insignificant globally. Developed markets experience lower carbon returns due to intense climate concern shocks, while countries with stringent climate policies exhibit higher carbon returns.
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全球碳回报
碳过渡风险的定价是气候意识投资辩论的核心。排放量与销售额密切相关,投资者只能在显著滞后的情况下才能获得排放量。以往研究中记录的正的碳回报率,或褐-绿回报率差异,来自于排放量中包含的前瞻性企业绩效信息,而不是事前预期回报率中的风险溢价。考虑到数据发布的滞后性,美国的碳回报率转为负值,在全球范围内则不显著。发达市场因强烈的气候问题冲击而出现较低的碳回报率,而实行严格气候政策的国家则表现出较高的碳回报率。
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来源期刊
Journal of Finance
Journal of Finance Multiple-
CiteScore
12.90
自引率
2.50%
发文量
88
期刊介绍: The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.
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