The biodiversity premium
通过实证资产定价分析，发现生物多样性因子（包括其子成分）具有异质性动态，且未被传统因子解释；该因子在双重重要性暴露高的行业中对已实现和预期回报分别有正负溢价，且负溢价自2021年起显著增强。
Focusing on biodiversity risks, we perform an empirical asset pricing analysis and document three main results. First, the factor going long on low biodiversity intensity assets and short on high biodiversity intensity ones as well as the factors based on the biodiversity intensity subcomponents (land use, greenhouse gases—GHG, air pollution, and water pollution) have heterogeneous dynamics but are not spanned by the Fama and French (2015) and carbon factors. Second, the biodiversity factor excluding the GHG subcomponent (ex-GHG) commands a positive risk premium on realized returns and a negative one on expected returns in the sector highly exposed to the double materiality of biodiversity risks (i.e., physical and transition risks). Third, we show that the negative premium of both the biodiversity and the ex-GHG biodiversity factors on expected returns has materialized strongly from 2021 onward and that it amplifies with attention to biodiversity issues and risk aversion.