Carbon risk premium in the Brazilian stock market
ブラジル株式市場におけるカーボンリスクプレミアム (AI 翻訳)
Rafael Gondim Tomaz, Márcio Laurini, Adriano Barasal Morales
🤖 gxceed AI 要約
日本語
ブラジル株式市場においてカーボンリスクプレミアムが存在するかを検証。2000-2022年の1282社データを用いて、Brown-Minus-Green(BMG)因子が統計的に有意な負のプレミアムを示し、グリーン資産は低い期待収益率、ブラウン資産は高い期待収益率となることを発見。セクターレベルでも多くの産業で有意なカーボン移行リスクが確認された。投資家や政策立案者に含意。
English
This study investigates the carbon risk premium in the Brazilian stock market using a Brown-Minus-Green (BMG) factor. Analyzing 1,282 firms from 2000-2022, it finds a negative and significant premium, indicating green assets have lower expected returns while brown assets are penalized. Sector-level results show pervasive carbon-transition exposure across industries. Implications for investors and policymakers on integrating carbon risks.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
ブラジルは新興国としてカーボン移行リスクが顕著であり、本研究成果は日本企業のブラジル投資や新興国でのESG統合の参考になる。ただし、日本市場への直接適用には注意が必要。
In the global GX context
This paper provides empirical evidence of carbon risk pricing in an emerging market (Brazil), contributing to the global literature on climate finance. It demonstrates that carbon transition risks are priced even in less regulated markets, which has implications for international investors and policymakers considering carbon risk integration.
👥 読者別の含意
🔬研究者:Useful for researchers studying carbon risk premium and asset pricing in emerging markets.
🏢実務担当者:Asset managers integrating ESG factors into portfolio construction in emerging markets can use these findings.
🏛政策担当者:Regulators in emerging markets can note the market's pricing of carbon risk as a signal for policy design.
📄 Abstract（原文）
Following the 2015 Paris Agreement, global efforts to address climate change have intensified, targeting carbon net neutrality by 2050. As a consequence of this transition toward a low-carbon economy, carbon-related risks have become increasingly relevant for asset pricing. This study investigates the existence of a carbon risk premium in the Brazilian stock market using a capital market-based carbon risk factor in standard asset-pricing models. Analyzing data from 1282 publicly traded firms over the 2000–2022 period, the study estimates a negative and statistically significant premium for the Brown-Minus-Green (BMG) factor in two of three BMG specifications, indicating that the market rewards green assets with lower expected returns and, conversely, penalizes brown exposure in expected returns. Sector-level results show that several industries exhibit positive and significant loadings on the BMG factor, suggesting that carbon-transition exposure is pervasive in Brazil. These findings have practical implications for investors and policymakers, emphasizing the importance of integrating carbon-transition risks into portfolio construction and regulatory frameworks.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.1080/20430795.2026.2674943first seen 2026-06-18 05:21:04
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