Do investors care about carbon risk?

• 成果类型: Article
• 署名作者: Bolton, Patrick; Kacperczyk, Marcin
• 署名单位: Columbia University; Imperial College London; Centre for Economic Policy Research - UK; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.008
• 发表日期: 2021
• 页码: 517-549
• 关键词: Carbon emissions; climate change; stock returns; institutional investors

摘要

We study whether carbon emissions affect the cross-section of US stock returns. We find that stocks of firms with higher total carbon dioxide emissions (and changes in emissions) earn higher returns, controlling for size, book-to-market, and other return predictors. We cannot explain this carbon premium through differences in unexpected profitability or other known risk factors. We also find that institutional investors implement exclusionary screening based on direct emission intensity (the ratio of total emissions to sales) in a few salient industries. Overall, our results are consistent with an interpretation that investors are already demanding compensation for their exposure to carbon emission risk. (c) 2021 Elsevier B.V. All rights reserved.