The ‘Carbon Premium’ in the Stock Market: Empirical Evidence on Climate Transition Risk Pricing
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Keywords
carbon premium, climate transition risk, carbon emission, asset pricing
Abstract
As green development gradually gains momentum and global climate governance accelerates, pricing climate transition risks has become an important issue. Based on data from Chinese listed companies from 2010 to 2020, this paper constructs indicators for corporate carbon emission intensity and climate transition risk exposure. Using Fama-MacBeth regression and constructing carbon risk factors, it tests the existence of the “carbon premium” in the stock market and discusses its influencing factors and transmission mechanisms. The research findings are as follows: First, the stock market exhibits a significant “negative carbon premium”. Second, the “carbon premium” is influenced by industry differences, being more pronounced in high-carbon industries. To improve market pricing efficiency and guide effective capital allocation, this paper recommends that the government improve the standardized climate information disclosure system.
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