Quantifying Downstream Value Chain Carbon Risk: A Six-Factor Asset Pricing Model for China’s Low-Carbon Transition
川下バリューチェーンのカーボンリスクの定量化：中国の低炭素移行のための6ファクター資産価格モデル (AI 翻訳)
Wenqing Wang, Ling Shao, Sanmang Wu
🤖 gxceed AI 要約
日本語
本論文は、環境責任と資産価格モデルを統合し、Ghoshモデルを用いて川下排出量を定量化したカーボンリスク因子(DMC)を構築。これをFama-French5因子モデルに追加した6因子モデルを提案し、中国A株市場で検証。高DMC企業がリスクプレミアムを持つことを示し、炭素プレミアム仮説を裏付けた。
English
This paper integrates environmental responsibility with asset pricing by constructing a downstream carbon risk factor (DMC) using the Ghosh input-output model. Adding DMC to the Fama-French five-factor model, it shows that Chinese A-share firms with high downstream carbon exposure earn a significant risk premium, supporting the carbon premium hypothesis.
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
中国のカーボンプライシング導入が進む中、本論文はバリューチェーンを通じた炭素リスクの資産価格への影響を定量化する手法を提供。日本のSSBJやTCFD開示の実務においても、サプライチェーン排出量の財務影響評価に応用可能な枠組み。
In the global GX context
As carbon pricing expands globally, this paper offers a novel factor for downstream carbon risk that can be integrated into asset pricing models. It provides empirical evidence from China, the world's largest carbon emitter, and a replicable methodology for assessing transition risk in emerging markets.
👥 読者別の含意
🔬研究者:Develops a new carbon risk factor based on value chain emissions, providing empirical support for carbon premium in China.
🏢実務担当者:Investors and corporate sustainability teams in China can use the DMC factor to assess transition risk exposure in portfolios or supply chains.
🏛政策担当者:Regulators can see how carbon pricing and disclosure requirements may affect asset valuations through downstream channels.
📄 Abstract（原文）
Sustainable finance and carbon risk have attracted substantial interest from both practitioners and scholars. This paper integrates the income-based environmental responsibility framework with financial asset pricing models to investigate how carbon transition risk propagates along value chains and impacts asset returns. By utilizing the Ghosh supply-driven input–output model to quantify downstream value chain carbon emissions as a proxy for the dependence of a company’s revenue streams on high-carbon downstream clients, we construct a novel downstream carbon risk factor (DMC) by sorting stocks into portfolios based on this exposure and forming a factor mimicking long short portfolio. We then integrate this DMC factor into the Fama–French five-factor framework to propose a six-factor model capable of capturing value chain risk transmission. Empirical results of Chinese A-share listed companies demonstrate that firms with high DMC exposure, being vulnerable to carbon transition shocks such as carbon pricing, offer a significant risk premium even after controlling for traditional financial characteristics. This finding provides robust evidence for the carbon premium hypothesis in the world’s largest emerging market and contributes a theoretically grounded and empirically implementable framework for integrating value chain carbon risk into asset pricing analysis.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.3390/math14020363first seen 2026-05-15 21:08:33
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