Guillaume Coqueret , Thomas Giroux , Olivier David Zerbib
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引用次数: 0
摘要
以生物多样性风险为重点，我们进行了实证资产定价分析，并记录了三个主要结果。首先，看多生物多样性强度低的资产和看空生物多样性强度高的资产的因子以及基于生物多样性强度子成分（土地利用、温室气体、空气污染和水污染）的因子具有异质性动态，但不在 Fama 和 French（2015 年）以及碳因子的范围内。其次，在高度暴露于生物多样性双重风险（即物理风险和过渡风险）的行业中，剔除温室气体子成分的生物多样性因子（ex-GHG）对已实现回报具有正风险溢价，对预期回报具有负溢价。第三，我们表明，从 2021 年起，生物多样性和除温室气体外的生物多样性因素对预期回报的负溢价已强烈显现，并且随着对生物多样性问题和风险规避的关注而放大。
Focusing on biodiversity risks, we perform an empirical asset pricing analysis and document three main results. First, the factor going long on low biodiversity intensity assets and short on high biodiversity intensity ones as well as the factors based on the biodiversity intensity subcomponents (land use, greenhouse gases—GHG, air pollution, and water pollution) have heterogeneous dynamics but are not spanned by the Fama and French (2015) and carbon factors. Second, the biodiversity factor excluding the GHG subcomponent (ex-GHG) commands a positive risk premium on realized returns and a negative one on expected returns in the sector highly exposed to the double materiality of biodiversity risks (i.e., physical and transition risks). Third, we show that the negative premium of both the biodiversity and the ex-GHG biodiversity factors on expected returns has materialized strongly from 2021 onward and that it amplifies with attention to biodiversity issues and risk aversion.
期刊介绍：
Ecological Economics is concerned with extending and integrating the understanding of the interfaces and interplay between "nature''s household" (ecosystems) and "humanity''s household" (the economy). Ecological economics is an interdisciplinary field defined by a set of concrete problems or challenges related to governing economic activity in a way that promotes human well-being, sustainability, and justice. The journal thus emphasizes critical work that draws on and integrates elements of ecological science, economics, and the analysis of values, behaviors, cultural practices, institutional structures, and societal dynamics. The journal is transdisciplinary in spirit and methodologically open, drawing on the insights offered by a variety of intellectual traditions, and appealing to a diverse readership.
Specific research areas covered include: valuation of natural resources, sustainable agriculture and development, ecologically integrated technology, integrated ecologic-economic modelling at scales from local to regional to global, implications of thermodynamics for economics and ecology, renewable resource management and conservation, critical assessments of the basic assumptions underlying current economic and ecological paradigms and the implications of alternative assumptions, economic and ecological consequences of genetically engineered organisms, and gene pool inventory and management, alternative principles for valuing natural wealth, integrating natural resources and environmental services into national income and wealth accounts, methods of implementing efficient environmental policies, case studies of economic-ecologic conflict or harmony, etc. New issues in this area are rapidly emerging and will find a ready forum in Ecological Economics.
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