Characteristics-Driven Carbon Beta: What Do Investors Really Price?
特性駆動型カーボンベータ：投資家は実際に何を価格に織り込むのか？ (AI 翻訳)
Stefano Grillini, Tristan Jourde
🤖 gxceed AI 要約
日本語
本論文は、企業特性と市場センチメントを条件付けした動的なカーボンベータを導入し、従来の排出量データでは捉えられない転換リスクを計測。米欧株式の分析で、移行リスクはスコープ1排出に基づくが、企業の論争や気候関連ニュース、ESGファンドフローにより大きく変化することを示した。また、パリ協定後に有意なカーボンプレミアム（年率4.8%）を検出し、投資家が単純な炭素排出量ではなく、洗練された情報を価格に織り込んでいることを明らかにした。
English
This paper introduces a dynamic, characteristics-driven carbon beta that conditions transition risk exposure on firm characteristics and market sentiment. Analyzing U.S. and European equities, it finds transition risk is anchored by historical Scope 1 emissions but reshaped by controversies, climate news, and ESG flows. It detects a significant carbon premium (4.8% annualized) after the Paris Agreement, invisible in raw emissions data, suggesting investors price sophisticated, time-varying information.
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
本研究成果は、日本の投資家や企業が転換リスクを評価する際に、単純な排出量データではなく、企業特性や市場のセンチメントを考慮した動的な指標が必要であることを示唆する。特に、有報や統合報告書での開示が進む中、本手法は実務的なリスク測定ツールとして活用可能性がある。
In the global GX context
This study advances global climate finance by showing that investors price a sophisticated information set beyond raw emissions, with implications for transition risk measurement and carbon premium debates. It offers a dynamic beta approach applicable to any market, relevant for TCFD/ISSB-aligned disclosures and portfolio decarbonization strategies.
👥 読者別の含意
🔬研究者:Provides a novel methodology for measuring transition risk that captures time-varying investor attention and firm-level characteristics, advancing empirical asset pricing in climate finance.
🏢実務担当者:Offers a practical tool for estimating firm-level transition risk and carbon premium, enabling better hedging and disclosure alignment with investor expectations.
🏛政策担当者:Demonstrates that market-based carbon premiums depend on dynamic information sets, informing how disclosure standards (e.g., ISSB) should evolve to capture material transition risks.
📄 Abstract（原文）
The existence of a carbon premium remains debated, with conflicting evidence attributed to incomplete, noisy, or backward-looking data. We address this measurement challenge by introducing a dynamic, characteristics-driven carbon beta that conditions transition risk exposure on observable firm characteristics and market sentiment. Decomposing this measure for U.S. and European equities, we show that transition risk is anchored by historical Scope 1 emissions, yet is significantly reshaped by public controversies, corporate commitments, climate-related news, and ESG fund flows. We also document market foresight, as the beta today acts as a leading indicator of a firm's realized decarbonization over the next two years. Finally, we detect a significant and economically large carbon premium (4.8% annualized) emerging after the Paris Agreement that is undetectable when using raw emissions data. This suggests that investors price a sophisticated, time-varying information set rather than simple carbon footprints.
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.2139/ssrn.6308738first seen 2026-05-14 21:10:02
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