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

碳排放与股票收益率：来自欧盟排放交易制度的证据

作者：A. Marcel Oestreich； Ilias Tsiakas

摘要：本文对“欧盟的排放权交易制度对德国股票收益率的影响”这一问题进行了实证研究。我们研究发现，在该机制运行的头几年中，那些拥有碳排放配额的公司的平均股价走势明显超过了那些没有配额的公司。这种“碳排放溢价”现象在统计检验上是普遍和显著的，主要原因在于碳排放配额的自由交易可以给公司带来更多的现金流。那些拥有更多碳排放配额的公司面临着更高的碳排放风险暴露并且呈现出更高的预期收益率，因此，碳排放风险因子也能够部分解释股票收益率的横截面波动。

关键词：欧盟排放权交易制度，碳排放配额，碳排放风险，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

原文链接：

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

翻译：郎彪