Global Pricing of Carbon‐Transition Risk

Patrick Bolton, Marcin KacperczykFinance资产定价UTD24

Journal of Finance2023-08-12University of Cyprus; Bank of Italy; Imperial College London; Center for Economic and Policy Research; Bank of JapanDOI

Citations792

ABSTRACT The energy transition away from fossil fuels exposes companies to carbon‐transition risk. Estimating the market‐based premium associated with carbon‐transition risk in a cross section of 14,400 firms in 77 countries, we find higher stock returns associated with higher levels and growth rates of carbon emissions in all sectors and most countries. Carbon premia related to emissions growth are greater for firms located in countries with lower economic development, larger energy sectors, and less inclusive political systems. Premia related to emission levels are higher in countries with stricter domestic climate policies. The latter have increased with investor awareness about climate change risk.

Risk premiumStock (firearms)Climate changeGreenhouse gasFossil fuelBusinessEconomicsNatural resource economicsMonetary economicsGeographyFinancial Markets and Investment StrategiesMarket Dynamics and Volatility