Carbon emission risk and cross-asset pricing in commodity markets
研究碳排放风险是否在中国商品市场中被定价，构建了基于股票的高减低碳因子，发现该因子在商品期货截面中每月获得0.7%的显著溢价，表明碳风险存在跨资产传导。
This paper examines whether carbon emission risk, widely documented in equity markets, is also priced in Chinese commodity markets. Using firm-level emission data and commodity futures from 2016–2021, we construct an equity-based high-minus-low (HML) carbon factor. The HML factor earns a significant monthly premium of 0.7% in the cross-section of commodity returns, while traditional commodity and macroeconomic factors show limited explanatory power. The results provide the first evidence of within-economy cross-asset transmission of carbon risk, underscoring the rising role of environmental risk in commodity pricing.