The carbon premium: Correlation or causality? Evidence from S&P 500 companies
研究标普500公司碳排放与股票碳溢价之间的因果关系，发现直接排放（范围一）存在显著正溢价，而间接排放（范围二）无显著溢价，对投资者和监管者评估气候风险定价有参考价值。
In the context of whether investors are aware of carbon-related risks, it is often hypothesized that there may be a carbon premium in the value of stocks of firms, conferring an abnormal excess value to firms’ shares as a form of compensation to investors for their transition risk exposure through the ownership of carbon instensive stocks. However, there is little consensus in the literature regarding the existence of such a premium. Moreover few studies have examined whether the correlation that is often observed is actually causal. The pertinent question is whether more polluting firms give higher returns or do firms with high returns have less incentive to decarbonize? In this study, we investigate whether firms’ emissions is causally linked to the presence of a carbon premium in a panel of 141 firms listed in the S&P500 index using fixed-effects analysis, with propensity score weighting to control for selection bias in which firms increase their emissions. We find that there is a statistically significant positive carbon premium associated with Scope 1 emissions, while there is no significant premium associated with Scope 2 emissions, implying that risks associated with direct emissions by the firm are priced, while bought emissions are not.