Global Pricing of Carbon-Transition Risk

• 成果类型: Article
• 署名作者: Bolton, Patrick; Kacperczyk, Marcin
• 署名单位: Columbia University; Imperial College London; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of London; London Business School; Imperial College London
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13272
• 发表日期: 2023
• 页码: 3677-3754
• 关键词: equilibrium; MODEL; slow

摘要

The energy transition away from fossil fuels exposes companies to carbon-transition risk. Estimating the market-based premium associated with carbon-transition risk in a cross section of 14,400 firms in 77 countries, we find higher stock returns associated with higher levels and growth rates of carbon emissions in all sectors and most countries. Carbon premia related to emissions growth are greater for firms located in countries with lower economic development, larger energy sectors, and less inclusive political systems. Premia related to emission levels are higher in countries with stricter domestic climate policies. The latter have increased with investor awareness about climate change risk.