低碳政策对股票收益的影响

Alessandro Ravina, Rania Hentati Kaffel
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引用次数: 6

摘要

本文通过Fama和French(2015)五因素模型的环境延伸来评估低碳政策对股票收益的影响。本文有四个主要贡献。首先,首次构建了一个因子GMC(绿色减碳),旨在提供不支付碳价所带来的溢价。GMC因子是通过对来自19个欧洲国家的182家公司的35个行业的样本获得的:从2008年1月到2018年12月,91家受2003/87/CE指令监管的公司的价值权重回报从91家受2003/87/CE指令豁免的公司的价值权重回报中减去,欧盟排放交易体系基于2003/87/CE指令。其次,我们提供的证据表明,在2008-2018年的时间跨度内,GMC因素的加入提高了五因素模型在欧洲的表现。第三,结果表明存在较高的绿色溢价,而不是部分文献所断言的碳溢价,并且这种绿色溢价在统计上具有高度显著性。第四,在进行了碳压力测试之后,我们展示了EU-ETS平均价格冲击对碳排放企业和绿色企业每个市值部分的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Impact of Low-Carbon Policy on Stock Returns
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.
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