碳溢价:相关性还是因果关系?来自标准普尔 500 指数公司的证据

Namasi G. Sankar, Suryadeepto Nag, Siddhartha P. Chakrabarty, Sankarshan Basu
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引用次数: 0

摘要

在投资者是否意识到碳相关风险的问题上,人们经常假设公司股票的价值中可能存在碳溢价,使公司股票具有异常的超额价值,作为对投资者通过持有碳密集型股票而面临转型风险的一种补偿。然而,关于这种溢价的存在,文献中几乎没有共识。此外,也很少有研究探讨经常观察到的相关性是否真的是因果关系。与此相关的问题是,是污染更严重的公司带来了更高的回报,还是高回报的公司去碳化的动力更弱?在本研究中,我们使用固定效应分析法,对 141 家在 S&P500 指数中上市的公司进行了调查,以了解公司的排放量是否与碳溢价的存在存在因果关系,并使用倾向得分加权法来控制公司增加排放量的选择偏差。我们发现,与范畴 1 排放相关的碳溢价在统计上是显著的正溢价,而与范畴 2 排放相关的碳溢价并不显著,这意味着与公司直接排放相关的风险被定价了,而购买排放则没有。
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The Carbon Premium: Correlation or Causation? Evidence from S&P 500 Companies
In the context of whether investors are aware of carbon-related risks, it is often hypothesized that there may be a carbon premium in the value of stocks of firms, conferring an abnormal excess value to firms' shares as a form of compensation to investors for their transition risk exposure through the ownership of carbon instensive stocks. However, there is little consensus in the literature regarding the existence of such a premium. Moreover few studies have examined whether the correlation that is often observed is actually causal. The pertinent question is whether more polluting firms give higher returns or do firms with high returns have less incentive to decarbonize? In this study, we investigate whether firms' emissions is causally linked to the presence of a carbon premium in a panel of 141 firms listed in the S\&P500 index using fixed-effects analysis, with propensity score weighting to control for selection bias in which firms increase their emissions. We find that there is a statistically significant positive carbon premium associated with Scope 1 emissions, while there is no significant premium associated with Scope 2 emissions, implying that risks associated with direct emissions by the firm are priced, while bought emissions are not.
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