Transition risk beyond carbon intensity

IF 14.2 2区 经济学 Q1 ECONOMICS
Tatiana Evdokimova, Laurent Millischer
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Abstract

As carbon prices rise and their coverage expands across sectors and borders, understanding their financial impact on firms becomes increasingly important for policymakers and investors alike. This paper quantifies how changes in carbon prices affect stock valuations, using a panel dataset of 180 major European firms over 2009–2023. The empirical strategy isolates the stock price response to weekly carbon price fluctuations and exogenous shocks, guided by a theory-based framework. The analysis incorporates firm-level data on direct and indirect carbon cost exposure, free allowance allocation, decarbonization plans, pass-through capacity, and hedging portfolios. The findings show that stock markets price carbon risk in line with economic fundamentals: firms with high net carbon costs and weak abatement plans face stronger valuation losses, while those with mitigation strategies or cost pass-through capacity are less affected. The effects are statistically and economically significant, particularly among the most exposed firms. These results underscore the need for granular transition risk metrics that go beyond headline emissions figures.
超越碳强度的转型风险
随着碳价格的上涨及其覆盖范围跨越行业和国界,了解其对企业的财务影响对政策制定者和投资者来说变得越来越重要。本文利用2009-2023年间180家欧洲主要公司的面板数据集,量化了碳价格变化对股票估值的影响。在基于理论的框架指导下,实证策略隔离了股票价格对每周碳价格波动和外生冲击的反应。该分析结合了企业层面的直接和间接碳成本暴露、免费配额分配、脱碳计划、传递能力和对冲投资组合等数据。研究结果表明,股票市场对碳风险的定价与经济基本面一致:具有高净碳成本和弱减排计划的公司面临更大的估值损失,而具有减排战略或成本传递能力的公司受影响较小。这种影响在统计上和经济上都是显著的,尤其是在那些风险敞口最大的公司中。这些结果强调了在总体排放数据之外,需要更精细的转型风险指标。
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来源期刊
Energy Economics
Energy Economics ECONOMICS-
CiteScore
18.60
自引率
12.50%
发文量
524
期刊介绍: Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.
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