Carbon Risk Factor Framework
利用原始碳足迹数据，构建三个碳因子（碳量、碳财务效率、碳运营效率），发现高碳量或低碳效率公司有正风险溢价，对投资组合构建有参考价值。
This article provides new perspectives on carbon risk factors by using raw carbon footprint data, applying more accurate measurement of carbon footprint data, analyzing the global stock universe, utilizing a long data timeframe, and constructing three unique carbon factors. The research uses both Fama–French and Fama–MacBeth frameworks. All three carbon factors (carbon volume, carbon financial efficiency, and carbon operational efficiency) exhibit strong performance and high Sharpe ratios. There is no discernable return variation within the carbon volume factor along six formed portfolios. Both efficiency factors show a discernable higher performance for higher-carbon-efficiency companies with larger market capitalization. The regression analysis shows all three carbon factors exhibiting statistical significance individually or carbon volume with one of the efficiency factors. In conclusion, companies with relatively higher carbon volume or lower carbon efficiency have a positive risk premium.