Climate risk concern and green premium in the stock market: Evidence from China

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-21 DOI:10.1016/j.frl.2025.107741

Guan Yan , Fanglin Li , Zhidong Liu , Lu Jolly Zhou

引用次数: 0

Abstract

Are the green premium and media coverage of climate risk related? We investigate the relationship between the daily green premium in China’s A-share market and the proportion of sentences on climate risk in Xinwen Lianbo (News Simulcast), produced by state broadcaster China Central Television, which is China’s most widely watched news program. We find that our proposed climate risk concern (CRC) and CRC shock indices, based on analysis of Xinwen Lianbo, are positively correlated with the green premium on the next trading day, even after controlling for market risk. We also construct the daily green premium in the A-share market from 2017 to 2023, where greenness is measured by ESG ratings. This research contributes to the understanding of green premiums in stock markets, providing new evidence on how climate risk reported in news media is priced in the Chinese context.

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气候风险担忧与股市绿色溢价：来自中国的证据

绿色溢价和媒体对气候风险的报道是否相关？我们调查了中国a股市场每日绿色溢价与《新闻联播》（新闻联播）中关于气候风险的句子比例之间的关系。《新闻联播》由国家广播机构中国中央电视台制作，是中国最受关注的新闻节目。通过对新文联博的分析发现，即使在控制市场风险后，我们提出的气候风险关注（CRC）和CRC冲击指数与下一个交易日的绿色溢价呈正相关。我们还构建了2017 - 2023年a股市场的每日绿色溢价，其中绿色是通过ESG评级来衡量的。本研究有助于理解股票市场的绿色溢价，为新闻媒体报道的气候风险如何在中国背景下定价提供了新的证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance