Disentangling the Effects of Firm‐Level Climate Risk and Capital Market Signalling: Evidence From Stock Price Informativeness
研究了企业碳排放如何通过信息不对称降低股价信息含量，并发现公司治理机制（如董事会规模、独立性）能缓解这一负面效应，且该效应在普通法国家和制度质量高的地区更强。
ABSTRACT This study examines the impact of firm‐level climate risk on stock price informativeness (SPI) through the integrated lens of stakeholder–shareholder theory. Using a global unbalanced panel of 73,770 firm‐year observations across 38 countries (2000–2020), we find that higher carbon emissions significantly reduce SPI, reflecting increased information asymmetry. Governance mechanisms, specifically board size, independence, tenure and nationality mix, consistently moderate this effect by enhancing disclosure and mitigating opacity. The negative relationship between emissions and SPI is strongest in common law countries and those with high institutional quality, where stricter enforcement and disclosure regimes heighten investor sensitivity to environmental risks. Additionally, we document that transparency in emission disclosure, financial risks and environmental liabilities is identified as a key channel through which firm‐level climate risk affects market informativeness. Furthermore, higher SPI is associated with lower cost of capital, more efficient capital allocation and reduced crash risk. This study contributes novel insights to the climate finance literature by integrating firm‐level governance factors with cross‐jurisdictional analysis. Robustness checks, including placebo tests, alternative SPI measures and system GMM estimation, confirm the validity of our results and underscore the importance of institutional context in pricing environmental risk.