王浩,刘敬哲,张丽宏

• 1:清华大学经济管理学院

摘要(Abstract)：

在中国致力于实现“碳达峰、碳中和”目标的大背景下，本文使用手工收集的2009年至2019年上市公司数据研究企业碳排放与资产定价之间的关系。研究发现，总碳排放强度和间接碳排放强度更高的企业具有显著更高的股票和债券超额收益率。这一结果通过了多种稳健性检验，说明金融市场认知碳排放风险，尤其关注企业碳排放强度，即单位产出所排放的温室气体量。此外，间接碳排放水平和年度增长率与股票超额收益率有显著的正向关系。间接碳排放只与企业耗电量和耗热量有关，比直接碳排放更容易观察，因此投资者对间接碳排放更加敏感。更高的企业环境、社会、治理(ESG)评级和环境评分显著减弱碳排放强度与股票收益率的关系，说明企业进行环境治理有利于降低碳排放风险，而市场监管压力的增强则会提高碳风险溢价。异质性检验结果表明，相较于高排放行业，低排放行业的碳风险溢价显著更高。

关键词(KeyWords)： 碳排放强度;直接间接碳排放;超额收益率;环境社会治理(ESG);环境治理评分

Abstract:

Keywords:

基金项目(Foundation): 清华大学自主科研计划（2019THZWLJ14和2021THZWJC28）的资助

作者(Author): 王浩,刘敬哲,张丽宏

DOI: 10.16513/j.cnki.cje.2022.02.003

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• (1)由于本文没有将范围三排放纳入考虑范围,因此文中所有“间接碳排放”表述均只包含范围二排放。
• (2)例如,使用《中国能源统计年鉴》计算得到的部分行业的碳排放量比该行业内的企业自行披露的碳排放量之和要低。
• (3)范围一碳排放数据的最早年份可以到2006年,范围二碳排放数据的最早年份可以到2008年,但是为了与总碳排放数据年份保持一致,本文样本都从2009年开始算起。这一处理只使范围一碳排放损失了3个观测,使范围二碳排放损失了1个观测,因此不会对样本和结果产生实质影响。
• (4)由于部分行业范围一碳排放的计算较为复杂,我们在对待需要计算得到的数据时十分谨慎。针对如水泥制造等存在生产过程碳排放的行业,尽管我们得到了企业少部分的化石能源消耗,如果它没有直接披露碳排放,我们仍然将其按缺失值处理。
• (5)相比范围一碳排放,范围二碳排放的计算过程更为简单,因此数据可得性更好。但是《企业温室气体排放核算方法与报告指南》中规定需计入范围二碳排放的电力热力消耗为外购电力和热力,部分企业在报告中并没有详细说明用电量为外购电力还是总消耗。我们认为,对于非电力企业来说,其用电量绝大部分来自购入电力,自身发电量十分有限,因此这一计算误差并不会影响我们的结论。
• (6)比如Huynh and Xia (2021b) 发现,对于环境治理更好的企业,其股票收益率对于自然灾害冲击的敏感性也更低。
• (7)本文还尝试了10%、25%、30%。不同的选值对于结论并没有显著影响。
• (8)在我们的样本中,采矿业(行业代码B)的碳排放同样排在前列,但是为了与官方定义保持一致,我们并未把采矿业划分为高排放行业。我们同时做了将采矿业划分为高排放行业的稳健性检验,并不影响本文结论。