Journal of Banking & Finance, Volume 58, September 2015, Pages 294-308

碳排放與股票收益率：來自歐盟排放交易制度的證據

作者：A. Marcel Oestreich； Ilias Tsiakas

摘要：本文對“歐盟的排放權交易制度對德國股票收益率的影響”這一問題進行了實證研究。我們研究發現，在該機制運行的頭幾年中，那些擁有碳排放配額的公司的平均股價走勢明顯超過了那些沒有配額的公司。這種“碳排放溢價”現象在統計檢驗上是普遍和顯著的，主要原因在于碳排放配額的自由交易可以給公司帶來更多的現金流。那些擁有更多碳排放配額的公司面臨着更高的碳排放風險暴露并且呈現出更高的預期收益率，因此，碳排放風險因子也能夠部分解釋股票收益率的橫截面波動。

關鍵詞：歐盟排放權交易制度，碳排放配額，碳排放風險，股票收益率

Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme

A. Marcel Oestreich, Ilias Tsiakas

Abstract

This paper provides an empirical investigation of the effect of the European Union’s Emissions Trading Scheme on German stock returns. We find that, during the first few years of the scheme, firms that received free carbon emission allowances on average significantly outperformed firms that did not. This suggests the presence of a large and statistically significant “carbon premium,” which is mainly explained by the higher cash flows due to the free allocation of carbon emission allowances. A carbon risk factor can also explain part of the cross-sectional variation of stock returns as firms with high carbon emissions have higher exposure to carbon risk and exhibit higher expected returns.

Keywords: European Union Emissions Trading Scheme; Carbon emission allowances; Carbon risk; Stock returns

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0378426615001326

翻譯：郎彪