{"title":"低碳政策对股票收益的影响","authors":"Alessandro Ravina, Rania Hentati Kaffel","doi":"10.2139/ssrn.3444168","DOIUrl":null,"url":null,"abstract":"This paper assesses the impact of low-carbon policy on stock returns by means of an environmental extension of Fama and French’s (2015) five factor model. This paper makes four major contributions. Firstly, for the first time a factor, GMC (green minus carbon), meant to provide the premium which results from not paying a carbon price is constructed. The GMC factor is obtained by means of a sample of 182 firms from 19 European countries operating in 35 sectors: from January 2008 to December 2018 the value-weight returns of 91 firms regulated by the 2003/87/CE directive are subtracted from the value-weight returns of 91 firms exempted by the 2003/87/CE directive upon which the EU-ETS is based. Secondly, we provide evidence that the addition of the GMC factor improves the performance of the 5 factor model in Europe in the 2008-2018 time span. Thirdly, results show that there is a high green premium rather than a carbon premium as it was asserted by parts of the literature, and that this green premium is highly statistically significant. Fourthly, after performing a carbon stress test, we show the effects of EU-ETS average price shocks on both carbon and green firms for each market cap tranche.","PeriodicalId":387203,"journal":{"name":"SRPN: Sustainable Business (Topic)","volume":"67 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"The Impact of Low-Carbon Policy on Stock Returns\",\"authors\":\"Alessandro Ravina, Rania Hentati Kaffel\",\"doi\":\"10.2139/ssrn.3444168\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper assesses the impact of low-carbon policy on stock returns by means of an environmental extension of Fama and French’s (2015) five factor model. This paper makes four major contributions. Firstly, for the first time a factor, GMC (green minus carbon), meant to provide the premium which results from not paying a carbon price is constructed. The GMC factor is obtained by means of a sample of 182 firms from 19 European countries operating in 35 sectors: from January 2008 to December 2018 the value-weight returns of 91 firms regulated by the 2003/87/CE directive are subtracted from the value-weight returns of 91 firms exempted by the 2003/87/CE directive upon which the EU-ETS is based. Secondly, we provide evidence that the addition of the GMC factor improves the performance of the 5 factor model in Europe in the 2008-2018 time span. Thirdly, results show that there is a high green premium rather than a carbon premium as it was asserted by parts of the literature, and that this green premium is highly statistically significant. Fourthly, after performing a carbon stress test, we show the effects of EU-ETS average price shocks on both carbon and green firms for each market cap tranche.\",\"PeriodicalId\":387203,\"journal\":{\"name\":\"SRPN: Sustainable Business (Topic)\",\"volume\":\"67 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-08-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"SRPN: Sustainable Business (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3444168\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"SRPN: Sustainable Business (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3444168","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This paper assesses the impact of low-carbon policy on stock returns by means of an environmental extension of Fama and French’s (2015) five factor model. This paper makes four major contributions. Firstly, for the first time a factor, GMC (green minus carbon), meant to provide the premium which results from not paying a carbon price is constructed. The GMC factor is obtained by means of a sample of 182 firms from 19 European countries operating in 35 sectors: from January 2008 to December 2018 the value-weight returns of 91 firms regulated by the 2003/87/CE directive are subtracted from the value-weight returns of 91 firms exempted by the 2003/87/CE directive upon which the EU-ETS is based. Secondly, we provide evidence that the addition of the GMC factor improves the performance of the 5 factor model in Europe in the 2008-2018 time span. Thirdly, results show that there is a high green premium rather than a carbon premium as it was asserted by parts of the literature, and that this green premium is highly statistically significant. Fourthly, after performing a carbon stress test, we show the effects of EU-ETS average price shocks on both carbon and green firms for each market cap tranche.