Keywords: Carbon risk, Empirical asset pricing, Fama-Macbeth regression, GMM
JEL Classification: G11, G12, G18, Q54
학회소식
[2022년 5차 CAFM2022]The Asset-Pricing Implications of Carbon Risk in Korea
작성자 : 관리자
조회수 : 320
게시일 :
2022-12-20
This paper examines the relationship between carbon risk and stock returns in Korea. We find a firm’s carbon intensity to be a significant determinant of the cross-sectional stock returns. Stocks with high exposure to carbon risk exhibit high average returns. The abnormal return associated with carbon risk is statistically significant and cannot be explained by the Fama-French three or five factor models. Furthermore, this phenomenon is more evident among stocks with high foreign ownership stakes. Finally, carbon factor commands a significant positive risk premium for the firms with carbon emission information, suggesting that carbon risk is an important risk factor.
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