碳风险对资产定价的影响研究——基于中国A股市场的检验  

The Impact of Carbon Risk on Asset Pricing:An Empirical Study Based on the Chinese A-share Market

作　　者：王晓润[1] 曹青洲 候宇 WANG Xiaorun;CAO Qingzhou;HOU Yu(Anhui Agricultural University,Hefei 230036,China)

机构地区：[1]安徽农业大学经济管理学院,安徽合肥230036

出　　处：《南华大学学报(社会科学版)》2024年第6期29-40,共12页Journal of University of South China(Social Science Edition)

基　　金：安徽省教育厅“创新创业投融资决策模拟教研室建设”资助(编号:2022xnjys014)。

摘　　要：研究中国A股市场中碳排放风险是否为资产定价的重要因素、碳排放风险如何影响企业股票收益率已成为十分重要的课题。因此,文章选取2013—2022年的季度数据,在Fama-French三因子模型的基础上分别引入碳排放水平因子和碳绩效因子构建碳风险因子扩展模型,研究企业碳排放风险影响中国A股市场收益率的途径。实证结果表明:第一,两种碳风险因子扩展模型均能很好地刻画中国股票市场中的碳风险情况;第二,市场对不同碳排放水平和碳绩效水平的企业抱有不同看法,即市场中同时存在“高碳排放溢价”和“绿色激励”两种效应,并且随着企业规模的增加会同时放大这两种效应。在规模较大的企业中,过高的碳排放风险会引起市场的担忧,从而损害此类股票的市场表现;相反,较高的碳绩效水平会使得市场认可其绿色发展前景,从而大大降低市场对企业的碳风险预期。This paper studies whether carbon emission risk serves as a significant determinant in asset pricing within the Chinese A-share market.How carbon emission risk affects corporate stock returns has become a very important topic.Accordingly,this study u-tilizes quarterly data spanning from 2013 to 2022,and extends the Fama-French three-factor model by incorporating carbon emission level and carbon performance factors to construct an augmented carbon risk factor model.It explores the channels through which corpo-rate carbon emission risk influences the returns of China's A-share market.Empirical findings indicate that:(1)both augmented car-bon risk factor models effectively encapsulate the carbon risk dynamics within the Chinese equity market;(2)market participants ex-hibit heterogeneous perceptions of firms based on varying carbon emission levels and carbon performance metrics,where a dual pres-ence of“high carbon emission premiums”and“green incentives”is observed,with both effects intensifying as firm size increases.In larger corporations,excessive carbon emission risk incites market concerns,adversely affecting the stock performance of such entities;conversely,superior carbon performance engenders market recognition of their green development potential,significantly curtailing the market's expectations regarding carbon risk exposure.

关 键 词：碳风险 资产定价 FAMA-FRENCH三因子模型 碳排放 碳绩效 

分 类 号：F832.51[经济管理—金融学]