The Pollution Premium
研究发现，行业内高污染企业股票的年均回报比低污染企业高4.42%，这一溢价无法被现有风险因素解释，而与环保政策不确定性这一新系统性风险有关。
ABSTRACT This paper studies the asset pricing implications of industrial pollution. A long‐short portfolio constructed from firms with high versus low toxic emission intensity within an industry generates an average annual return of 4.42%, which remains significant after controlling for risk factors. This pollution premium cannot be explained by existing systematic risks, investor preferences, market sentiment, political connections, or corporate governance. We propose and model a new systematic risk related to environmental policy uncertainty. We use the growth in environmental litigation penalties to measure regime change risk and find that it helps price the cross section of emission portfolios' returns.