Carbon Returns across the Globe
研究发现，先前文献中观察到的正碳回报（棕色减绿色回报差异）源于排放数据中包含的前瞻性企业绩效信息，而非事前预期回报的风险溢价；考虑数据发布滞后后，美国碳回报转负，全球范围内不显著。
ABSTRACT The pricing of carbon transition risk is central to the debate on climate‐aware investments. Emissions are tightly linked to sales and are available to investors only with significant lags. The positive carbon return, or brown‐minus‐green return differential, documented in previous studies arises from forward‐looking firm performance information contained in emissions rather than a risk premium in ex ante expected returns. After accounting for the data release lag, carbon returns turn negative in the United States and insignificant globally. Developed markets experience lower carbon returns due to intense climate concern shocks, while countries with stringent climate policies exhibit higher carbon returns.