Is Carbon Risk Priced in the Cross Section of Corporate Bond Returns?
研究发现，高碳排放公司的债券回报显著更低，这与碳风险溢价假说相反，且不能被机构投资者撤资完全解释，更可能是投资者对碳强度预测现金流和信用风险的反应不足所致。
Abstract This article examines the pricing of a firm’s carbon risk in the corporate bond market. Contrary to the “carbon risk premium” hypothesis, bonds of more carbon-intensive firms earn significantly lower returns. This effect cannot be explained by a comprehensive list of bond characteristics and exposure to known risk factors. Investigating sources of the low carbon alpha, we find the underperformance of bonds issued by carbon-intensive firms cannot be fully explained by divestment from institutional investors. Instead, our evidence is most consistent with investor underreaction to the predictability of carbon intensity for firm cash-flow news, creditworthiness, and environmental incidents.