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題名 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作者 藍郁勛
Lan, Yu-Shun貢獻者 林靖庭
Lin, Ching-Ting
藍郁勛
Lan, Yu-Shun關鍵詞 碳溢酬
範疇一碳排放量
Fama-French因子模型
時間產業固定效果日期 2023 上傳時間 6-Jul-2023 16:47:38 (UTC+8) 摘要 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。 參考文獻 [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. 描述 碩士
國立政治大學
金融學系
110352022資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110352022 資料類型 thesis dc.contributor.advisor 林靖庭 zh_TW dc.contributor.advisor Lin, Ching-Ting en_US dc.contributor.author (Authors) 藍郁勛 zh_TW dc.contributor.author (Authors) Lan, Yu-Shun en_US dc.creator (作者) 藍郁勛 zh_TW dc.creator (作者) Lan, Yu-Shun en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:47:38 (UTC+8) - dc.date.available 6-Jul-2023 16:47:38 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:47:38 (UTC+8) - dc.identifier (Other Identifiers) G0110352022 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145863 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 110352022 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.tableofcontents 摘要 i目次 iv表次 v圖次 vi第一章 緒論 1第一節 研究背景 1第二節 研究動機與目的 2第三節 研究架構 2第二章 文獻回顧 4第一節 ESG參與動機 4第二節 碳排放法規與趨勢 5第三節 碳排放與報酬、風險 7第三章 研究方法 11第一節 樣本選取與來源 11第二節 模型建立與變數設定 11第四章 實證結果 15第一節 敘述性統計 15第二節 回歸分析結果 16第五章 結論與建議 22第六章 參考文獻 42 zh_TW dc.format.extent 642518 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110352022 en_US dc.subject (關鍵詞) 碳溢酬 zh_TW dc.subject (關鍵詞) 範疇一碳排放量 zh_TW dc.subject (關鍵詞) Fama-French因子模型 zh_TW dc.subject (關鍵詞) 時間產業固定效果 zh_TW dc.title (題名) 碳排放溢酬是否存在-以台灣市場為研究 zh_TW dc.title (題名) Does Carbon Premium Exist in the Taiwanese Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [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. zh_TW
