Research On The Impact Of Carbon Emissions On Stock Return

In recent years,environmental degradation,climate warming,extreme disasters and other issues caused by human economic activities have become increasingly serious,posing a huge threat to human survival and development.The world,including China,is actively exploring feasible solutions to coordinate economic development and environmental protection.The concept of green development has emerged as the times require.Only by promoting green economic transformation and adjusting industrial structure can sustainable economic development be achieved.In this process,green finance plays an important role as an important living water for the green development of the economy and a key support for the optimization and upgrading of the industrial structure.Therefore,how to combine financial mechanisms with environmental protection,build an effective green capital market,and guide the flow of funds to the field of green environmental protection is currently the most worthy of consideration in China.In the context of building a financial system,this article starts from the perspective of carbon emissions,explores the potential risk pricing factors that exist in China’s stock market in the new context,deeply studies the impact of carbon emissions on stock value,examines whether there are green incentives or carbon risk premiums in China’s stock market,and whether the establishment of a carbon emissions trading market will have an impact on China’s stock market,To test whether carbon risk has a certain pricing ability through empirical research,thereby enriching China’s green financial asset pricing theory,providing a new reference dimension for establishing a unified green enterprise evaluation standard in China,and having important significance for further improving China’s carbon emissions trading market and green financial system.Firstly,this article has conducted a thorough review of domestic and foreign capital asset pricing theories,and found that multi-factor pricing models developed from CAPM model and APT theory are widely used in the field of asset pricing.Due to the different risk characteristics of the stock market in different contexts,there may be new risk pricing factors that affect the yield of stocks.Therefore,domestic and foreign scholars have begun to actively explore potential risk pricing factors in the stock market,This also promotes the continuous development of capital asset pricing theory.As countries increasingly attach importance to the concept of green development and continuously introduce relevant policies and guidelines to promote the green development of the economy,the financial field has also followed the development of the times and gradually derived a green development pattern.Therefore,scholars have begun to explore the new characteristics between the risks and returns of financial assets in the new context.In addition,this article has conducted an in-depth review of research related to green incentives and carbon risk premiums.The research shows that when enterprises engage in green production,such enterprises will require higher risk compensation.This part of risk compensation is green incentives,while for enterprises with high carbon emissions,they will face the risk of regulatory penalties for carbon emissions and higher carbon emissions risks.The excess return corresponding to this part of risk is carbon risk premiums.Based on Fam-French three-factor and five-factor model,this paper constructs a new portfolio by grouping stocks with industry carbon emission data,portfolio analysis and Fama Macbeth cross-sectional regression were used to analyze the full sample interval and sub-interval,and the impact of corporate carbon emissions on stock returns was studied in depth.The empirical results show that: first,there is a certain correlation between carbon emissions and stock returns;Secondly,there was no significant green incentive or carbon emission premium in the entire sample range from January 2009 to December 2022 in China,but there was a significant carbon risk premium in the sub range from June 2013 to December 2017,and the carbon risk premium in the sub range from December 2017 to December 2022 became insignificant,indicating that the carbon risk premium in China’s stock market is gradually disappearing,due to the start of pilot carbon emission trading markets after June 2013,The establishment of a regional carbon emissions exchange will hedge some carbon risk premiums;Third,the pricing ability of carbon emission factors is significant under single factors,but when other factors are added,the pricing ability is relatively weak;Fourth,in China’s stock market,the momentum effect is not significant,and the explanatory power of the five factor model is the strongest,but the pricing power of the profit factor is weak and not significant.Finally,according to the analysis of the empirical results,the author puts forward some pertinent suggestions to the construction of our country’s green finance system,the perfection of the carbon emission trading market and the investors,so as to provide the reference for the development of our country’s green finance,help our country realize“Double carbon” target at an early date.