Carbon Returns across the Globe
成果类型：
Article
署名作者：
Zhang, Shaojun
署名单位：
University System of Ohio; Ohio State University
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.13402
发表日期：
2025
关键词：
摘要：
The pricing of carbon transition risk is central to the debate on climate-aware investments. Emissions are tightly linked to sales and are available to investors only with significant lags. The positive carbon return, or brown-minus-green return differential, documented in previous studies arises from forward-looking firm performance information contained in emissions rather than a risk premium in ex ante expected returns. After accounting for the data release lag, carbon returns turn negative in the United States and insignificant globally. Developed markets experience lower carbon returns due to intense climate concern shocks, while countries with stringent climate policies exhibit higher carbon returns.