Carbon-Tax-Adjusted Value

SSRN Pub Date : 2022-02-15 DOI:10.2139/ssrn.3974773
David Blitz, T. Hoogteijling
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Abstract

The authors examine the effects of incorporating a potential tax on carbon emissions into a value investment strategy. They show that in a portfolio optimization problem, a carbon tax at the stock level is mathematically equivalent to a carbon constraint at the portfolio level. Using this insight, the authors derive a value–carbon efficient frontier that reflects the trade-off between a high value exposure and a low carbon footprint. Empirically, they find that carbon taxes up to $100, corresponding to a portfolio carbon footprint reduction of about 50%, have little effect on the characteristics and performance of the long side of a value strategy. More aggressive footprint reduction targets require progressively higher, less realistic carbon tax levels that do erode the magnitude of the value premium.
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碳税调整值
作者研究了将潜在的碳排放税纳入价值投资策略的影响。他们表明,在投资组合优化问题中,股票水平上的碳税在数学上等同于投资组合水平上的碳约束。利用这一见解,作者得出了一个价值-碳效率边界,反映了高价值暴露和低碳足迹之间的权衡。根据经验,他们发现高达100美元的碳税,相当于投资组合碳足迹减少了约50%,对价值策略的长期特征和表现几乎没有影响。更积极的碳足迹减少目标要求逐步提高、不太现实的碳税水平,这确实会侵蚀价值溢价的幅度。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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