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    题名: 企業碳排對股票報酬之影響－以台灣上市公司為例
    The Impact of Firm Level Carbon Emission on Stock Return: An Examination through Taiwan Listed Company
    作者: 黃懷宇
    Huang, Huai-Yu
    贡献者: 徐政義
    黃懷宇
    Huang, Huai-Yu
    关键词: 碳排放
    氣候變遷
    股票報酬
    Carbon Emission
    Climate Change
    Stock Return
    日期: 2023
    上传时间: 2023-08-02 13:10:26 (UTC+8)
    摘要: 隨著全球對於碳排議題的重視程度日益加重，也連帶影響對企業溫室氣體排放的規範或法規趨嚴。過去已有許多針對美國或是歐盟地區企業碳排對股票報酬的影響，本篇論文旨在探討台灣上市公司碳排對股票報酬的影響，透過複製Bolton及Kacperczyk (2021)的模型進行實證。本文研究區間為2016年至2021年，將以最小平方法及Fama-MacBeth兩種迴歸模型進行實證研究。使用最小平方法迴歸模型進行分析，發現範疇一至範疇三的總碳排及範疇三碳密度對股票報酬影響具顯著性，範疇一總碳排及範疇三碳密度呈現正相關，而範疇二及範疇三總碳排則呈現負相關，然而，在加入時間及產業固定效果後，範疇一總碳排則不顯著。由Fama-MacBeth迴歸所得之結果，僅發現範疇三碳排年變化具顯著性，且與股票報酬為正相關，而在總碳排及碳密度中，並未找到影響股票報酬的證據。綜合上述，確實可以找到台灣上市公司碳排變數對股票報酬影響的證據，然而，目前市場對於何種因變數能影響股票報酬表現仍眾說紛紜，因此，期待後續能有更多相關的研究。
    As global concerns about carbon emissions continue to escalate, there is an increasing trend towards stricter regulations and policies regarding greenhouse gas (GHG)emissions for businesses. While numerous studies have focused on the impact of carbon emissions on stock returns in the United States and EU. This paper aims to explore the influence of carbon factors on stock returns for Taiwan listed companies, using a replication of the model proposed by Bolton and Kacperczyk (2021a).

    The study period for this paper is from 2016 to 2021, and empirical research will be conducted using both the ordinary least squares (OLS) and Fama-MacBeth regression models. Through the analysis using the OLS regression model, it was found that total carbon emissions in Scope 1 to Scope 3 and carbon intensity in Scope 3 have a significant impact on stock returns. Specifically, total carbon emissions in Scope 1 and carbon intensity in Scope 3 show a positive correlation with stock returns, while total carbon emissions in Scope 2 and Scope 3 exhibit a negative correlation. However, after incorporating time and industry fixed effects, the impact of total carbon emissions in Scope 1 becomes statistically insignificant.

    The results obtained from the Fama-MacBeth regression show that only the carbon emission growth in Scope 3 is significant and positively correlated with stock returns. No evidence was found for the impact of total carbon emissions and carbon intensity factors on stock returns. In summary, evidence of the influence of carbon factors on stock returns for Taiwan listed companies can indeed be found. However, there are still conflicting opinions in the market regarding which factors can affect stock returns. Therefore, further research in this area is highly anticipated.
    參考文獻: [1] Aswani, J., Raghuanandan, A. & Rajgopal, S. (2023). Are Carbon Emissions Associated with Stock Returns? Review of Finance, forthcoming, Available at SSRN: https://ssrn.com/abstract=3800193 or http://dx.doi.org/10.2139/ssrn.3800193

    [2] Anderson, M., Bolton, P. & Samama, F. (2016). Hedging Climate Risk. Financial Analysts Journal, 72 (3), 13-22.

    [3] Bolton, P., Halem, Z. & Kacperczzyk, M. (2022). The Financial Cost of Carbon. Journal of Applied Corporate Finance, 3 4(2), 17-29

    [4] Bolton, P. & Kacperczyk, M. (2021). Do investors care about carbon risk? Journal of Financial Economics, 142 (2), 517-549

    [5] Bolton, P. & Kacperczyk, M. (2022). Global Pricing of Carbon-Transition Risk. Journal of Finance, forthcoming, Available at SSRN: https://ssrn.com/abstract=3550233 or http://dx.doi.org/10.2139/ssrn.3550233

    [6] Clark, L. G., Feiner, A. & Viehs, M. (2015). From the Stockholder to the Stakeholder: How Sustainability Can Drive Financial Outperformance. Available at SSRN: https://ssrn.com/abstract=2508281.

    [7] Derwall, J., Bauer, R., Guenster, N., & Koedijk, K. C. G. (2005). The Eco-Efficiency Premium Puzzle. Financial Analysts Journal, 61 (2), 51–63.

    [8] Fama, F. E., MacBeth, D. J. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81 (3), 607-636.

    [9] Garvey, G. T., Iyer, M. & Nash, J. (2018). Carbon Footprint and Productivity: Does the “E” in ESG Capture Efficiency as Well as Environment? Journal of Investment Management, 16 (1), 59-69.

    [10] Görgen, M., Jacob, A., Nerlinger, M., Riordan, R., Rohleder, M. & Wilkens, M., (2019). Carbon Risk. Unpublished working Paper. University of Augsburg.

    [11] Hoepner, A. G. F., Oiknomou, I., Sautner, Z., Starks, L. & Zhou X. (2022). ESG Shareholder Engagement and Downside Risk. AFA 2018 paper, European Corporate Governance Institute – Finance Working Paper No. 671/2020
    [12] Hsu, P. H., Li, K. & Tsou, C. Y. (2022). The Pollution Premium. Journal of Finance, Forthcoming.

    [13] Illhan, E., Sautner, Z. & Vilkov, G. (2021). Carbon Tail Risk. The Review of Financial Studies, 34 (3), 777-799

    [14] In, S. Y., Park, K. Y. & Monk, A. (2019). Is `Being Green` Rewarded in the Market?: An Empirical Investigation of Decarbonization and Stock Returns. Stanford Global Project Center Working Paper.

    [15] Matsumura, E. M., Parkash, R. & Vera-Munoz, S. C. (2014). Firm-Value Effects of Carbon Emissions and Carbon Disclosures. The Accounting Review, 89 (2), 695-724.

    [16] Monasterolo, I., & De Angelis, Luca. (2020). Blind to Carbon Risk? An Analysis of Stock Market Reaction to the Paris Agreement. Ecological Economics, 170.

    [17] Pedersen, L. H., Fitzgibbons, S. & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142 (2), 572-579

    [18] Seltzer, L., Starks, L. T. & Zhu, Q. (2022). Climate Regulatory Risks and Corporate Bonds. Nanyang Business School Research Paper No. 20-05, FBR of New York Staff Report No. 1014.

    [19] Zhang, S. (2022). Carbon Premium: Is It There? Unpublished working Paper. The Ohio State University.

    [20] 姜宛妤. “碳排放與公司治理評鑑對股價超額報酬之影響”, 國立清華大學財務金融碩士在職專班碩士論文”. (2022)
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    110351016
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0110351016
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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