Carbon Emissions, Institutional Investors, and Stock Returns: Evidence from China's Emerging Carbon Market
炭素排出、機関投資家、株式リターン：中国の新興炭素市場からの証拠 (AI 翻訳)
Yulei Qi
🤖 gxceed AI 要約
日本語
本論文は、中国の排出権取引制度（ETS）の段階的導入を自然実験として利用し、株式市場が炭素排出リスクをどのように価格に織り込むかを検証。短期的には炭素リスクプレミアムが観察されるが、長期的にはグリーン選好プレミアムが優勢になることを示す。機関投資家の異質性が炭素価格形成の鍵となる。
English
This paper exploits the staggered implementation of China's ETS as a quasi-natural experiment to examine how equity markets price carbon emissions. It finds a short-term carbon risk premium that reverses over longer horizons, with institutional investors' heterogeneous preferences driving the dynamics. The results highlight the role of climate policy in shaping asset prices.
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
日本ではSSBJ開示が始まり、投資家の気候関連リスク評価が重要になる。本論文の知見は、日本の機関投資家が炭素リスクを価格に織り込む際の参考となる。また、日本のETS導入議論にも示唆を与える。
In the global GX context
This paper contributes to the global climate finance literature by providing causal evidence from China's ETS on how carbon regulation affects asset pricing. It offers insights for investors and policymakers in jurisdictions implementing carbon pricing, such as the EU and US, on the dynamic interplay between risk compensation and green preferences.
👥 読者別の含意
🔬研究者:Provides causal evidence on carbon risk pricing and institutional investor behavior, useful for climate finance research.
🏢実務担当者:Informs investment strategies regarding carbon-intensive firms and the impact of carbon regulation on portfolio allocation.
🏛政策担当者:Highlights the role of carbon pricing institutions in shaping market behavior, relevant for designing effective climate policies.
📄 Abstract（原文）
A central question in climate finance is whether capital markets can effectively identify and systematically price corporate carbon-emission risk. This paper examines whether and how equity markets incorporate carbon into asset prices, thereby reconciling the competing hypotheses of a carbon risk premium and a green preference premium within a unified asset-pricing framework. We document that firms with higher carbon emissions earn higher contemporaneous excess returns, consistent with compensation for carbon-related risk exposure. However, this relationship reverses over longer investment horizons, suggesting that increasing investor demand for green assets gradually outweighs traditional risk-compensation mechanisms in determining equilibrium asset prices. To establish causality, we exploit the staggered implementation of ETS as a quasi-natural experiment. The results show that the introduction and expansion of carbon regulatory institutions significantly strengthen the pricing of carbon emissions in equity markets, highlighting the critical role of climate policy in shaping asset prices. Further analyses reveal that carbon emissions affect firm valuation through their implications for both expected cash flows and risk exposure, with these channels jointly facilitating the systematic pricing of carbon risk in capital markets. We further identify institutional investors as a key force in the carbon-pricing process. Heterogeneity in institutional investors’ risk preferences and investment horizons generates substantial differences in portfolio allocation and trading behavior toward carbon-intensive firms, providing a micro-foundation for the coexistence of carbon risk premium and green preference premium. Overall, our findings suggest that climate-related asset pricing emerges from the interaction between carbon regulatory institutions and heterogeneous investor demand. More broadly, the evidence points to a dynamic pricing framework in which carbon risk compensation and green preferences jointly determine equilibrium asset prices.
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.2139/ssrn.6922686first seen 2026-08-04 04:38:35
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