What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures
基于欧洲个股数据，研究发现市场定价的是企业环境绩效与透明度的组合，并据此构建因子评估投资组合的低碳转型风险暴露，指出若投资者忽视气候转型风险，全球大型银行可能遭受损失。
This study provides evidence on the existence of a negative greenium, i.e. a risk premium related to the greenness of a firm, based on European individual stock returns. We define a priced ‘greenness and transparency’ factor based on companies’ greenhouse gas emissions and the quality of their environmental disclosures, and show that what is priced by the market is the combination of environmental performance and environmental transparency. Based on this factor, we offer a tool to assess the exposure of a portfolio to the risk associated with the low-carbon transition, and hedge against it. We estimate that in a stressed scenario where greener and more transparent firms very much outperform brown stocks, there would be losses at the global level, including for European large banks, should investors fail to price climate-transition risks. These results call for the introduction of climate stress tests for systemically important financial institutions.