The ‘Carbon Premium’ in the Stock Market: Empirical Evidence on Climate Transition Risk Pricing
株式市場における「カーボンプレミアム」：気候移行リスクの価格付けに関する実証的エビデンス (AI 翻訳)
Yiya Du
🤖 gxceed AI 要約
日本語
本論文は、中国上場企業の2010～2020年のデータを用いて、企業の炭素排出強度と気候移行リスクへのエクスポージャー指標を構築し、Fama-MacBeth回帰と炭素リスク因子により株式市場における「カーボンプレミアム」の存在を検証した。結果、有意な「負のカーボンプレミアム」が存在し、高炭素産業でより顕著であることが示された。市場の価格効率向上と資本配分の最適化のために、政府による気候情報開示制度の整備を提言する。
English
Using Chinese listed company data from 2010-2020, this paper constructs indicators for carbon emission intensity and climate transition risk exposure. Through Fama-MacBeth regression and carbon risk factors, it tests for a 'carbon premium' in the stock market. Findings show a significant negative carbon premium, more pronounced in high-carbon industries. The paper recommends improving standardized climate information disclosure to enhance market pricing efficiency and capital allocation.
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
中国市場におけるカーボンプレミアムの実証分析は、日本企業の気候移行リスク評価や投資家対応にも示唆を与える。特に、日本のSSBJ開示基準やTCFD対応において、炭素排出量と株価の関係を理解する参考となる。
In the global GX context
This empirical evidence on carbon premium using Chinese data contributes to global transition risk pricing literature. It supports the need for standardized climate disclosure (TCFD/ISSB) to improve market efficiency. Findings on negative premium suggest investors may underprice transition risk, with implications for portfolio construction and risk management.
👥 読者別の含意
🔬研究者:Provides robust empirical evidence of carbon premium in emerging market, adding to asset pricing and climate finance literature.
🏢実務担当者:Helps corporate sustainability teams understand how carbon emissions affect stock valuation, supporting disclosure and risk mitigation strategies.
🏛政策担当者:Strengthens the case for mandatory climate disclosure regulations to improve market pricing of transition risks.
📄 Abstract（原文）
As green development gradually gains momentum and global climate governance accelerates, pricing climate transition risks has become an important issue. Based on data from Chinese listed companies from 2010 to 2020, this paper constructs indicators for corporate carbon emission intensity and climate transition risk exposure. Using Fama-MacBeth regression and constructing carbon risk factors, it tests the existence of the “carbon premium” in the stock market and discusses its influencing factors and transmission mechanisms. The research findings are as follows: First, the stock market exhibits a significant “negative carbon premium”. Second, the “carbon premium” is influenced by industry differences, being more pronounced in high-carbon industries. To improve market pricing efficiency and guide effective capital allocation, this paper recommends that the government improve the standardized climate information disclosure system.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.70267/icsscs.20260110first seen 2026-06-29 08:19:27
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