政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145863

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145863

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51707821 Online Users : 448

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/145863

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145863

Title:	碳排放溢酬是否存在-以台灣市場為研究 Does Carbon Premium Exist in the Taiwanese Market
Authors:	藍郁勛 Lan, Yu-Shun
Contributors:	林靖庭 Lin, Ching-Ting 藍郁勛 Lan, Yu-Shun
Keywords:	碳溢酬範疇一碳排放量 Fama-French因子模型時間產業固定效果
Date:	2023
Issue Date:	2023-07-06 16:47:38 (UTC+8)
Abstract:	本研究旨在探討台灣市場是否存在碳溢酬之現象，即投資人是否會將碳排放之監管與法規視為風險進而要求高碳排企業股票提供風險溢酬，達到較高之報酬率，並先後以兩個回歸模型進行分析。本研究樣本對向為台灣上市公司股票，期間為2015~2021年，總樣本數量為3244筆。本研究發現不論在普通最小平方法(OLS)或考慮時間固定效果下，僅範疇一碳排放量與總碳排放量對於股票報酬具正面影響，且範疇一碳排放量之係數最顯著，但在加入產業固定效果後，則皆不顯著，表示碳排放量對於股票報酬率之影響存在產業效果，而其他碳排放量變數如碳排放年增率與碳密度皆對報酬率無顯著影響。本研究發現透過高碳排企業-低碳排企業之long/short投資組合未能帶來顯著正向的超額報酬，甚至截距項(alpha)係數為負，本研究發現原因在於建構投組時，高碳排企業幾乎充斥著高碳排產業如油電燃氣業、鋼鐵工業、水泥工業、與塑膠工業等，而本研究發現在這些高碳排產業樣本中，因為高碳排產業容易受到投資人負面評價，故越高碳排者評價越低，投資人越不願意購入，再考量監管成本後，投資者可能更關注公司的盈利能力而對碳排放的影響較不關注，使高碳排產業間碳排與報酬率相關性較低甚至呈現負值，故造成其Fama-Franch回歸結果之截距項係數為負值。本研究亦發現將高碳排產業排除後，範疇一碳排放量對於企業股票報酬率之影響顯著為正，且排除越多高碳排產業時，該現象越強，是以先將高碳排產業排除後再進行投資組合建構，可能帶來較佳表現，惟截距項仍不顯著，臺灣市場不存在碳溢酬現象。因我國法規與碳排交易體系尚不完整，本研究認為台灣投資人尚未將碳風險納入投資考量，未向高碳排企業要求風險溢酬。
Reference:	[1]. Andersson, M., Bolton, P., & Samama, F. (2016). Hedging climate risk. Financial Analysts Journal, 72(3), 13-32. [2]. Bolton, P., & Kacperczyk, M. (2021). Do investors care about carbon risk? Journal of financial economics, 142(2), 517-549. [3]. Breedt, A., Ciliberti, S., Gualdi, S., & Seager, P. (2019). Is ESG an equity factor or just an investment guide? The Journal of Investing, 28(2), 32-42. [4]. Cahan, S. F., Chen, C., Chen, L., & Nguyen, N. H. (2015). Corporate social responsibility and media coverage. Journal of Banking & Finance, 59, 409-422. [5]. Dimson, E., Karakaş, O., & Li, X. (2015). Active ownership. The Review of Financial Studies, 28(12), 3225-3268. [6]. Engle, R. F., Giglio, S., Kelly, B., Lee, H., & Stroebel, J. (2020). Hedging climate change news. The Review of Financial Studies, 33(3), 1184-1216. [7]. 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. [8]. Gennaioli, N., & Shleifer, A. (2010). What comes to mind. The Quarterly journal of economics, 125(4), 1399-1433. [9]. Giese, G., Lee, L.-E., Melas, D., Nagy, Z., & Nishikawa, L. (2019). Foundations of ESG investing: How ESG affects equity valuation, risk, and performance. The Journal of Portfolio Management, 45(5), 69-83. [10]. Görgen, M., Jacob, A., Nerlinger, M., Riordan, R., Rohleder, M., & Wilkens, M. (2020). Carbon risk. Available at SSRN 2930897. [11]. Hong, H., & Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of financial economics, 93(1), 15-36. [12]. HSU, P. H., Li, K., & TSOU, C. Y. (2022). The pollution premium. The Journal of Finance. [13]. Ilhan, E., Sautner, Z., & Vilkov, G. (2021). Carbon tail risk. The Review of Financial Studies, 34(3), 1540-1571. [14]. In, S. Y., Park, K. Y., & Monk, A. (2017). Is “being green” rewarded in the market? an empirical investigation of decarbonization risk and stock returns. International Association for Energy Economics (Singapore Issue), 46(48). [15]. Krueger, P., Sautner, Z., & Starks, L. T. (2020). The importance of climate risks for institutional investors. The Review of Financial Studies, 33(3), 1067-1111. [16]. Madhavan, A., Sobczyk, A., & Ang, A. (2021). Toward ESG alpha: Analyzing ESG exposures through a factor lens. Financial Analysts Journal, 77(1), 69-88. [17]. Matsumura, E. M., Prakash, R., & Vera-Munoz, S. C. (2014). Firm-value effects of carbon emissions and carbon disclosures. The accounting review, 89(2), 695-724. [18]. Monasterolo, I., & De Angelis, L. (2020). Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement. Ecological Economics, 170, 106571. [19]. Witkowski, P., Adamczyk, A., & Franek, S. (2021). Does carbon risk matter? evidence of carbon premium in eu energy-intensive companies. Energies, 14(7), 1855. [20]. Wong, W. C., Batten, J. A., Mohamed-Arshad, S. B., Nordin, S., & Adzis, A. A. (2021). Does ESG certification add firm value? Finance Research Letters, 39, 101593.
Description:	碩士國立政治大學金融學系 110352022
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0110352022
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

Files in This Item:

File	Description	Size	Format
202201.pdf		627Kb	Adobe PDF2	0	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback