| 11,436 | 136 | 635 |
| 下载次数 | 被引频次 | 阅读次数 |
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。
Abstract：In the context of China's efforts to achieve the goal of “carbon peak” and “carbon neutrality”, this article uses manually collected data on Chinese listed firms from 2009 to 2019 to study the relationship between corporate carbon emissions and assets pricing. The study finds that companies with higher total carbon emission intensity and indirect carbon emission intensity have significantly higher excess returns on stocks and bonds, which passes various robustness tests, indicating that the financial market recognizes carbon emission risks and pays particular attention to corporate carbon emission intensity, that is, greenhouse gas emissions per unit of output. In addition, both the level and the annual growth rate of indirect carbon emissions are positively associated with the excess return on stocks. Indirect carbon emissions are only related to the electricity consumption and heat consumption of enterprises and are easier to observe than direct carbon emissions. Therefore, investors are more sensitive to indirect carbon emissions. Higher corporate environmental, social, and governance(ESG) ratings and environmental scores significantly weaken the relationship between carbon emission intensity and stock returns, indicating that better corporate environmental governance is beneficial to reduce carbon emission risks, while higher regulatory pressure from the government will increase carbon risk premium. Results of heterogeneity tests indicate that compared with high-emission industries, firms within low-emission industries bear higher carbon risk premium.
陈华，王海燕，荆新.2013.中国企业碳信息披露：内容界定、计量方法和现状研究[J].会计研究，(12):18-24,96.Chen H,Wang H Y,Jing X.2013.Study on content definition,measure methods and status of carbon information disclosure in Chinese enterprises[J].Accounting Research,(12):18-24,96.(in Chinese)
韩国文，樊呈恒.2021.企业碳排放与股票收益——绿色激励还是碳风险溢价[J].金融经济学研究，36(4):78-93.Han G W,Fan C H.2021.Corporate carbon emissions and stock returns:Green incentive or carbon risk premium?[J].Financial Economics Research,36(4):78-93.(in Chinese)
李力，刘全齐，唐登莉.2019.碳绩效、碳信息披露质量与股权融资成本[J].管理评论，31(1):221-235.Li L,Liu Q Q,Tang D L.2019.Carbon performance,carbon information disclosure quality and cost of equity financing[J].Management Review,31(1):221-235.(in Chinese)
李秀玉，史亚雅.2016.绿色发展、碳信息披露质量与财务绩效[J].经济管理，38(7):119-132.Li X Y,Shi Y Y.2016.The impact of the quality of carbon information disclosure on corporate financial performance in the concept of green development[J].Economic Management,38(7):119-132.(in Chinese)
马骏.2015.论构建中国绿色金融体系[J].金融论坛，20(5):18-27.Ma J.2015.On the construction of China's green finance system[J].Finance Forum,20(5):18-27.(in Chinese)
马骏.2021a.进一步提升环境信息披露水平[J].现代金融导刊，(1):3-4.Ma J.2021a.Further improving the level of the environmental information disclosure[J].Modern Finance Guide,(1):3-4.(in Chinese)
马骏.2021b.绿色金融如何支持中国“30·60目标”[J].国际金融，(5):3-7.Ma J.2021b.How will green finance support China's “30·60” target[J].International Finance,(5):3-7.(in Chinese)
宋晓华，蒋潇，韩晶晶，等.2019.企业碳信息披露的价值效应研究——基于公共压力的调节作用[J].会计研究，(12):78-84.Song X H,Jiang X,Han J J,et al.2019.Research on the value effect of enterprise carbon information disclosure—Based on the adjustment of public pressure[J].Accounting Research,(12):78-84.(in Chinese)
田宇，宋亚军.2019.碳信息披露、盈余质量与重污染企业财务绩效[J].财会通讯，(3):87-91.Tian Y,Song Y J.2019.Carbon information disclosure,earnings quality and financial performance of heavily polluted enterprises[J].Communication of Finance and Accounting,(3):87-91.(in Chinese)
王文，刘锦涛.2021.“碳中和”逻辑下的中国绿色金融发展：现状与未来[J].当代金融研究，(1):18-26.Wang W,Liu J T.2021.China's green finance development under the logic of “carbon neutrality”:Current status and future[J].Journal of Contemporary Financial Research,(1):18-26.(in Chinese)
闫海洲，陈百助.2017.气候变化、环境规制与公司碳排放信息披露的价值[J].金融研究，(6):142-158.Yan H Z,Chen B Z.2017.Climate change,environment regulation and the firm value of carbon emissions disclosure[J].Journal of Financial Research,(6):142-158.(in Chinese)
杨洁，张茗，刘运材.2020.碳信息披露如何影响债务融资成本——基于债务违约风险的中介效应研究[J].北京理工大学学报(社会科学版),22(4):28-38.Yang J,Zhang M,Liu Y C.2020.How does carbon information disclosure affect debt financing cost—A study based on mediating effect of debt default risk[J].Journal of Beijing Institute of Technology (Social Sciences Edition),22(4):28-38.(in Chinese)
张丽宏，刘敬哲，王浩.2021.绿色溢价是否存在?——来自中国绿色债券市场的证据[J].经济学报，8(2):45-72.Zhang L H,Liu J Z,Wang H.2021.Does green premium exist?—Evidence from China's green bond market[J].China Journal of Economics,8(2):45-72.(in Chinese)
Akter M,Cumming D J,Ji S.2021.Death,destruction,and manipulation[R].SSRN,Working Paper.
Alessi L,Ossola E,Panzica R.2021.What greenium matters in the stock market?The role of greenhouse gas emissions and environmental disclosures[J].Journal of Financial Stability,54:100869.
Ang A,Hodrick R J,Xing Y H,et al.2006.The cross-section of volatility and expected returns[J].The Journal of Finance,61(1):259-299.
Ang A,Hodrick R J,Xing Y H,et al.2009.High idiosyncratic volatility and low returns:International and further U.S.evidence[J].Journal of Financial Economics,91(1):1-23.
Aswani J,Raghunandan A,Rajgopal S.2022.Are carbon emissions associated with stock returns?[R].SSRN,Working Paper.
Bai J,Bali T G,Wen Q.2019.Common risk factors in the cross-section of corporate bond returns[J].Journal of Financial Economics,131(3):619-642.
Baker M P,Bergstresser D,Serafeim G,et al.2018.Financing the response to climate change:The pricing and ownership of U.S.green bonds[R].NBER,Working Paper No.25194.
Berkman H,Jona J,Soderstrom N S.2021.Firm-specific climate risk and market valuation[R].SSRN,Working Paper.
Bessembinder H,Kahle K M,Maxwell W F,et al.2009.Measuring abnormal bond performance[J].The Review of Financial Studies,22(10):4219-4258.
Bolton P,Kacperczyk M.2021a.Do investors care about carbon risk?[J].Journal of Financial Economics,142(2):517-549.
Bolton P,Kacperczyk M.2021b.Global pricing of carbon-transition risk[R].NBER,Working Paper No.28510.
Choi D,Gao Z Y,Jiang W X.2020.Attention to global warming[J].The Review of Financial Studies,33(3):1112-1145.
Ding Y,Xiong W,Zhang J F.2022.Issuance overpricing of China's corporate debt securities[J].Journal of Financial Economics,144(1):328-346.
Duan T H,Li F W,Wen Q.2022.Is carbon risk priced in the cross-section of corporate bond returns?[R].SSRN,Working Paper.
Engle R F,Giglio S,Kelly B,et al.2020.Hedging climate change news[J].The Review of Financial Studies,33(3):1184-1216.
Faccini R,Matin R,Skiadopoulos G S.2021.Dissecting climate risks:Are they reflected in stock prices?[R].SSRN,Working Paper.
Fama E F,French K R.1992.The cross-section of expected stock returns[J].The Journal of Finance,47(2):427-465.
Fama E F,French K R.2020.Comparing cross-section and time-series factor models[J].The Review of Financial Studies,33(5):1891-1926.
Griffin P A,Lont D H,Sun E Y.2017.The relevance to investors of greenhouse gas emission disclosures[J].Contemporary Accounting Research,34(2):1265-1297.
Hong H,Kacperczyk M.2009.The price of sin:The effects of social norms on markets[J].Journal of Financial Economics,93(1):15-36.
Hong H,Karolyi G A,Scheinkman J A.2020.Climate finance[J].The Review of Financial Studies,33(3):1011-1123.
Huynh T D,Xia Y.2021a.Climate change news risk and corporate bond returns[J].Journal of Financial and Quantitative Analysis,56(6):1985-2009.
Huynh T D,Xia Y.2021b.Panic selling when disaster strikes:Evidence in the bond and stock markets[J].Management Science,forthcoming.
Ilhan E,Sautner Z,Vilkov G.2021.Carbon tail risk[J].The Review of Financial Studies,34(3):1540-1571.
In S Y,Park K Y,Monk A.2019.Is “Being Green” rewarded in the market?An empirical investigation of decarbonization and stock returns[R].Stanford Global Project Center Working Paper.
Kong D M,Lin Z Y,Wang Y N,et al.2021.Natural disasters and analysts' earnings forecasts[J].Journal of Corporate Finance,66:101860.
Krueger P,Sautner Z,Starks L T.2020.The importance of climate risks for institutional investors[J].The Review of Financial Studies,33(3):1067-1111.
Li Q,Shan H Y,Tang Y H,et al.2020.Corporate climate risk:Measurements and responses[R].SSRN,Working Paper.
Liu J N,Stambaugh R F,Yuan Y.2019.Size and value in China[J].Journal of Financial Economics,134(1):48-69.
Matsumura E M,Prakash R,Vera-Muňoz S C.2014.Firm-value effects of carbon emissions and carbon disclosures[J].The Accounting Review,89(2):695-724.
Nagar V,Schoenfeld J.2022.Measuring weather exposure with annual reports[J].Review of Accounting Studies,forthcoming.
Parente P M D C,Silva J M C S.2016.Quantile regression with clustered data[J].Journal of Econometric Methods,5(1):1-15.
Peters G P,Andrew R M,Canadell J G,et al.2017.Key indicators to track current progress and future ambition of the paris agreement[J].Nature Climate Change,7(2):118-122.
Safiullah M,Kabir M N,Miah M D.2021.Carbon emissions and credit ratings[J].Energy Economics,100:105330.
Sautner Z,van Lent L,Vilkov G,et al.2022.Firm-level climate change exposure[R].European Corporate Governance Institute-Finance Working Paper No.686/2020.
Seltzer L,Starks L T,Zhu Q F.2022.Climate regulatory risks and corporate bonds[R].NBER,Working Paper No.29994.
Wang J Z,Chen X,Li X X,et al.2020.The market reaction to green bond issuance:Evidence from China[J].Pacific-Basin Finance Journal,60:101294.
(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。
基本信息:
DOI：10.16513/j.cnki.cje.2022.02.003
中图分类号:F832.51;F275;X322
引用信息:
[1]王浩,刘敬哲,张丽宏.碳排放与资产定价——来自中国上市公司的证据[J].经济学报,2022,9(02):28-75.DOI:10.16513/j.cnki.cje.2022.02.003.
基金信息:
清华大学自主科研计划（2019THZWLJ14和2021THZWJC28）的资助