PRICING THE UNKNOWN: EVIDENCE FROM DERIVATIVES MARKETS ON CORPORATE ENVIRONMENTAL TARGETS
未知の価格付け：企業環境目標に関するデリバティブ市場からの証拠 (AI 翻訳)
D. Prasad
🤖 gxceed AI 要約
日本語
本研究は、インドのデリバティブ市場が企業の環境目標に内在する不確実性をどのように価格に織り込むかを分析した。BRSRフレームワークやSBTiの目標検証、インドの炭素クレジット取引制度を活用し、信頼性の高い目標はインプライド・ボラティリティ・スキューや分散リスク・プレミアムを低下させることを発見した。この結果は、移行リスクの下方テール確率が市場で下方修正されることを示唆している。
English
This study examines how derivatives markets in India price uncertainty in corporate environmental targets, using BRSR disclosures, SBTi validation, and India's carbon trading scheme. Credible targets reduce implied volatility skew and variance risk premia, indicating markets update downward the probability of severe transition shocks. The paper provides a framework linking mandatory sustainability reporting to forward-looking market 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
インドのBRSRは日本のSSBJに相当する持続可能性開示基準であり、本研究は開示情報が市場でどのように評価されるかを示す。日本の開示制度設計や保証要件の検討に際し、市場メカニズムと目標信頼性の関連を理解する上で参考となる。
In the global GX context
This paper offers a crucial link between disclosure standardisation (BRSR, SBTi) and market pricing of transition risk via derivatives. It provides empirical evidence that credible targets reduce downside tail risk, supporting the case for rigorous target validation and assurance in global frameworks like ISSB and CSRD.
👥 読者別の含意
🔬研究者:This paper provides a novel methodology for using derivatives data to assess market perceptions of corporate climate targets, applicable to other markets.
🏢実務担当者:Corporate sustainability teams can use these findings to understand how target credibility influences market risk pricing, informing their target-setting and verification choices.
🏛政策担当者:Regulators can draw on this evidence when designing disclosure and assurance mandates, as it shows that credible targets lower perceived transition risk.
📄 Abstract（原文）
This study examined whether derivatives markets in India quantify the uncertainty embedded in corporate environmental targets and whether target credibility attenuates option-implied downside risk. Using firm-level events derived from standardised sustainability disclosures under the Business Responsibility and Sustainability Reporting (BRSR) framework, third-party target validation records from the Science Based Targets initiative (SBTi), and climate-policy milestones including India's Carbon Credit Trading Scheme (CCTS) and notified greenhouse gas emissions-intensity target rules, the study tested how option-implied volatility, volatility skew, and related risk-neutral tail measures responded to the introduction and revision of corporate emissions targets. A panel of listed Indian firms with actively traded derivatives was assembled, target characteristics were merged with daily contract-level options and futures data from the National Stock Exchange (NSE), and event-study and staggered-adoption difference-indifferences (DiD) estimators robust to heterogeneous treatment effects were applied. Endogeneity was addressed using quasi-exogenous credibility shocks induced by phased BRSR Core assurance requirements and, where feasible, instrumental variables exploiting policy-driven variation in climate compliance exposure. Credible targets were found to reduce implied volatility skew and variance risk premia, consistent with markets updating downward the probability of severe downside transition shocks. The paper contributes to climate finance by providing an India-specific framework connecting mandatory sustainability reporting with forward-looking derivative prices, and offers regulatory implications for disclosure standardisation, assurance design, and carbon-market architecture.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.2139/ssrn.6564198first seen 2026-05-05 21:48:32
gxceed は公開メタデータに基づく研究支援データセットです。要約・翻訳・解説は AI 支援で生成されています。 最終的な解釈・検証は利用者が原典資料に基づいて行うことを前提とします。