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Carbon Premium, Climate Policy Uncertainty and Asset Pricing in China

カーボンプレミアム、気候政策の不確実性と中国の資産価格 (AI 翻訳)

Shan Chen, Tianhao Yi, Shuyu Xue

Sustainability📚 査読済 / ジャーナル2026-06-18#気候金融Origin: CN経営インパクト: 資金調達対象セクター: cross_sector
DOI: 10.3390/su18126301
原典: https://doi.org/10.3390/su18126301

🤖 gxceed AI 要約

日本語

本研究は、中国の株式市場において、企業の炭素強度と気候政策不確実性（CPU）へのエクスポージャーが資産価格にどのように影響するかを調査した。一変量ポートフォリオ分析により、高炭素企業が有意に高い平均リターンを得るカーボンプレミアムの存在を確認した。一方、CPUとリターンの無条件関係は有意でないが、二変量分析ではカーボンプレミアムとCPUプレミアムの強い相互作用が明らかになった。特に、低炭素企業や非エネルギーセクターでCPUプレミアムが負となるなど、セクター間の差異が示された。

English

This paper investigates how carbon intensity and exposure to climate policy uncertainty (CPU) are priced in China's equity market. Univariate portfolio tests confirm a carbon premium: high-carbon firms earn higher average returns. While the unconditional relation between CPU and returns is insignificant, bivariate portfolios reveal a strong interaction: the carbon premium is higher for firms with high CPU exposure, and a negative CPU premium appears among low-carbon and non-energy firms. The findings highlight that transition-risk pricing depends on the interplay between carbon exposure and policy uncertainty.

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

中国の株式市場におけるカーボンプレミアムと気候政策不確実性の相互作用を実証した点が重要。日本企業が中国市場で投資行動をとる際の参考となるほか、日本の気候関連ディスクロージャー（SSBJ等）の下でのリスク評価にも示唆を与える。

In the global GX context

This paper provides empirical evidence from China on how transition-risk pricing depends on the interaction between carbon exposure and policy uncertainty, contributing to the global literature on climate-related asset pricing and sustainable finance. It underscores the need for investors and regulators to consider both dimensions simultaneously.

👥 読者別の含意

🔬研究者:Key contribution is the interaction between carbon premium and CPU premium, advancing climate asset pricing theory.

🏢実務担当者:Useful for portfolio managers pricing transition risk in Chinese equities or similar emerging markets.

🏛政策担当者:Highlights that policy uncertainty amplifies carbon premium, suggesting clear and stable climate policy can reduce financing costs for low-carbon firms.

📄 Abstract（原文）

Climate change and low-carbon transition policies affect sustainable development by changing firms’ financing costs and investors’ capital allocation. This paper investigates whether and how climate-related information is priced in China’s equity market, focusing on firm-level carbon intensity and exposure to climate policy uncertainty (CPU). First, univariate-sorted portfolio tests confirm the existence of a carbon premium, as firms with high carbon intensity earn significantly higher average returns. However, the unconditional relation between CPU exposure and stock returns is insignificant. Bivariate-sorted portfolios reveal a strong interaction between the carbon premium and the CPU premium. The carbon premium is higher for firms with high exposure to CPU, whereas a significant and negative CPU premium appears among low-carbon firms and, in sector-level tests, is concentrated in non-energy firms. Further analysis demonstrates clear differences between energy and non-energy sectors, which may be attributable to cash flow risks and uncertainty in growth options. The findings contribute to climate-related asset pricing and sustainable finance research by showing that transition-risk pricing depends on the interaction between carbon exposure and policy uncertainty.

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