What Does ESG Disclosure Tell Us about Carbon Risk Pricing in China?
Prof. Lu’s research reveals that main-board listed companies with higher carbon emissions tend to deliver higher equity returns, even after accounting for factors like size, book-to-market ratio, momentum, and firm-specific characteristics. This carbon risk premium reflects the higher returns investors demand to compensate for the risks associated with carbon-intensive firms.
However, as policy initiatives promoting carbon neutrality in China enhance investor awareness, the carbon risk premium diminishes. This supports the hypothesis that better-informed investors are less likely to demand significant returns to offset carbon risks, indicating an evolving market dynamic driven by sustainability-focused policies.
Prof. Lu’s study also emphasizes the critical role of carbon disclosure. Firms are more likely to disclose their ESG information, particularly carbon emissions data, when their performance in reducing emissions improves. This underscores the importance of transparency in aligning corporate behavior with sustainability goals and investor expectations.
Keywords: Carbon risk premium, ESG disclosure, investor awareness, carbon neutrality, corporate governance
Research Paper:
Han, S., Lu, H., & Wu, H. (2024). ESG disclosure, investor awareness, and carbon risk pricing: Evidence from the Chinese market. International Review of Law and Economics, 80, 106217-. https://doi.org/10.1016/j.irle.2024.106217
👉Read the original article: [https://www.sciencedirect.com/science/article/pii/S0144818824000371#keys0005]
ESG披露對中國碳風險定價的啟示
近年來，氣候變化和可持續發展成為各國政府和企業的優先事項。隨之而來的是，環境、社會與治理（ESG）披露作為提升金融市場透明度和問責制的工具，受到了越來越多的關注。雖然公眾的討論主要集中在企業的可持續性舉措上，但ESG披露對金融市場動態（特別是碳風險定價）的影響卻經常被忽視。香港理工大學會計及金融學院陆海天教授團隊的研究，以中國市場為例，探討了ESG披露、投資者意識與碳風險定價之間的關係。
陆教授團隊的研究發現，主板上市公司碳排放量越高，通常能獲得越高的股權回報，即使考慮了公司規模、市淨率、動量效應以及其他公司特徵等因素後，這一結果依然成立。這種 碳風險溢價 反映了投資者為彌補碳密集型企業相關風險而要求的更高回報。
然而，隨著中國推動碳中和政策的實施，投資者意識逐漸增強，碳風險溢價呈現下降趨勢。這一結果支持了研究假設，即在信息更加透明的情況下，投資者對碳風險的補償需求減少，表明市場動態正隨著可持續政策的推進而發生變化。
陆教授的研究還強調了碳披露的重要性。企業在碳排放減少方面取得良好表現時，更傾向於披露其ESG相關信息。這表明透明度是將企業行為與可持續發展目標和投資者預期相結合的關鍵因素。
關鍵詞： 碳風險溢價，ESG披露，投資者意識，碳中和，公司治理
研究論文（只限英文版）：Han, S., Lu, H., & Wu, H. (2024). ESG disclosure, investor awareness, and carbon risk pricing: Evidence from the Chinese market. International Review of Law and Economics, 80, 106217-. https://doi.org/10.1016/j.irle.2024.106217
👉閱讀原文：[https://www.sciencedirect.com/science/article/pii/S0144818824000371#keys0005]
Hong Kong Sustaintech Foundation Professor in Accounting and Finance, Director of Mainland Development Office
