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炭素移行リスクの価格付け：排出権取引と株式リターン

Pricing on Carbon Transition Risks: Carbon Emission Trading and Stock Returns (原題)

Jinlong Zhang, Wei Zhang

Financial Markets Institutions and Instruments📚 査読済 / ジャーナル2026-08-24#炭素価格Origin: CN経営インパクト: 資金調達対象セクター: cross_sector
DOI: 10.1111/fmii.70012
原典: https://doi.org/10.1111/fmii.70012

🤖 gxceed AI 要約

日本語

中国の排出権取引（CET）パイロット政策の段階的導入を利用し、DIDモデルで炭素価格政策による移行リスクが株式リターンにどう織り込まれるかを推定。CET対象企業の株式は有意な炭素リスクプレミアムを示し、営業不確実性・信用悪化・情報非対称の3つのキャッシュフローリスクが価格形成に寄与。投資家のダイベストメントが主要な伝達経路であり、プレミアムは時間とともに変動する。第三者検証済みの環境格付けが断面変動の大部分を説明する一方、自己開示情報の説明力は限定的で、情報非対称が市場の価格形成を制約することを示す。

English

Using the phased rollout of China's carbon emission trading (CET) pilot policy, this study employs a staggered DID model to identify how transition risks from carbon pricing are priced in stock returns. CET-covered firms exhibit a significant carbon risk premium, driven by operational uncertainty, credit deterioration, and information asymmetry, with divestment as a key channel. The premium varies over time and is partially captured by established factors, while third-party verified environmental ratings explain cross-sectional variation better than self-disclosed information, highlighting the role of information asymmetry.

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CET政策を対象とするが、日本のカーボンプライシング導入やSSBJ開示における移行リスクの価格形成に示唆を与える。特に、第三者検証の重要性と情報非対称の影響は、日本の有報・統合報告書での開示品質向上に示唆的。

In the global GX context

Provides micro-level evidence on how carbon pricing policies transmit through capital markets, relevant to global discussions on transition risk pricing and disclosure quality. The finding that third-party verified ratings matter more than self-disclosed information supports the push for assurance in ISSB/CSRD frameworks.

👥 読者別の含意

🔬研究者:Provides empirical evidence on carbon risk premium and its transmission channels, useful for further research on transition risk pricing.

🏢実務担当者:Highlights the importance of third-party verified environmental ratings for market pricing, informing corporate disclosure strategy.

🏛政策担当者:Shows how carbon pricing policies can affect stock returns, informing the design of carbon markets and disclosure regulations.

📄 Abstract（原文）

ABSTRACT Relying on the phased rollout of the carbon emission trading (CET) pilot policy, we estimate a staggered difference‐in‐differences (DID) model to identify how transition risks induced by carbon pricing policies are priced in stock returns. Our results show that after CET implementation, stocks of CET‐covered firms command a significant carbon risk premium, providing empirical support for the carbon risk premium hypothesis. The premium arises from the market pricing of three distinct cash‐flow risks triggered by CET: operational uncertainty, credit deterioration, and information asymmetry. Meanwhile, divestment by rational investors serves as a key transmission channel for the premium. Dynamic analysis reveals pronounced time variation in the premium: it is significant during the initial period, persists for two years after implementation, then gradually attenuates, and reappears after the national CET launch. We further find that exposure to these risks is partially captured by established market factors (size/ SMB , value/ HML , profitability/ RMW ), indicating that carbon risk itself does not constitute a standalone pricing factor. Third‐party verified environmental ratings account for a substantial fraction of the cross‐sectional variation, whereas self‐disclosed environmental information by firms has limited explanatory power, indicating that information asymmetry constrains the market's ability to price carbon transition risks. This study provides microlevel evidence on how carbon policies are transmitted through capital markets.

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