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題名 臺灣企業碳排放量與碳溢酬之探討
Exploring the Relationship between Carbon Emissions and Carbon Premium in Taiwanese Corporations作者 毛慕耘
Mao, Mu-Yun貢獻者 楊曉文
Yang, Sharon
毛慕耘
Mao, Mu-Yun關鍵詞 碳排放
低碳
綠色轉型
股價報酬
超額報酬
Carbon emission
Low-carbon trend
Green economy transition
Stock return
Alpha日期 2023 上傳時間 6-Jul-2023 16:45:38 (UTC+8) 摘要 隨著全球氣候暖化加劇，許多政府將減碳視為重要任務，而相關政策對於企業的影響必定有所增加。投資人也開始意識到氣候風險，並試圖將其納入投資流程。而過去企業碳排放量與股價表現的相關研究，範圍多著重於歐美地區，因此本研究目的在於衡量在臺灣企業的碳排放量對該企業股價之影響，以及探索企業碳排放量與股價超額報酬的關聯，和綠色行動方案 1.0 對低碳轉型的影響。研究分析結果顯示，臺灣企業的碳排放總量與股價報酬呈現正相關，而碳排放密度與股價報酬呈現負相關。此外，碳排密度對報酬的負面影響是近年才出現的，而碳排總量對報酬的正向影響則趨弱。接著本文在全產業或高碳排產業中，將公司以碳排放量排序並區分高低碳排組別，並發現高碳總量組與低碳密度組均發現了超額報酬。而且在高碳產業中，低密度組的正向超額報酬在後期轉為顯著，高碳總量組的超額報酬則在後期消失。依據上述結果，本文肯定投資於低碳排公司的獲利能力，尤其在企業的碳密度指標上。隨著臺灣於近年加緊低碳轉型的腳步，本研究建議在引導綠色投資資金上，可從使用低碳密度指標為出發，有望在未來同時取得環境與投資人報酬的平衡。
As global climate change worsens, governments prioritize carbon reduction, impacting businesses. Investors recognize climate risks and seek to incorporate them into investments. This study evaluates the influence of carbon emissions on stock prices in Taiwanese companies and explores the relationship between carbon emissions and stock excess returns. The Green Action Plan 1.0`s impact on lowcarbon transformation is also considered.Analysis shows a positive correlation between total carbon emissions of Taiwanese companies and stock returns. Conversely, carbon intensity has a negative correlation. The negative effect of carbon intensity on returns emerged recently, while the positive impact of total carbon emissions weakened. The study validates the hypothesis of low-carbon excess returns in Taiwan. Both high-sum and low-intensity groups achieved excess returns, regardless of industry. In high-carbon industries, the low-intensity group had significant positive excess returns later, while excess returns diminished for high-carbon groups. The study concludes that, compared to the carbon premium hypothesis, low-carbon excess returns partially hold true in Taiwan, especially considering the carbon intensity indicator. This study aims to balance environmental sustainability and investor returns and recommends using the low-carbon intensity indicator as a foundational metric for guiding green investments.參考文獻 1. Ardia, David, Bluteau, Keven, Boudt, Kris, & Inghelbrecht, Koen. (2022). Climate change concerns and the performance of green versus brown stocks. SSRN.2. The Companies Strategic Report- Climaterelated Financial Disclosure Regulations, (2022).3. Bansal, Ravi, Kiku, Dana, & Ochoa, Marcelo. (2016). Price of long-run temperature shifts in capital markets.4. Barber, Bead M, & Lyon, John D. (1997). Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms. The Journal of Finance,52(2), 875-883.5. Bolton, Patrick, & Kacperczyk, Marcin. (2020). Carbon Premium Around the World. SSRN.6. Bolton, Patrick, & Kacperczyk, Marcin. (2021). Do investors care about carbon risk? Journal of Financial Economics, 142(2), 517-549. doi:10.1016/j.jfineco.2021.05.0087. Commission, U.S. Securities and Exchange. (2022). Enhancement and Standardization of Climate-Related Disclosures.8. Convery, Frank J. (2009). Origins and development of the EU ETS. Environmental and Resource Economics, 43, 391-412.9. Cucchiella, F, Gastaldi, M, & Miliacca, M. (2017). The management of greenhouse gas emissions and its effects on firm performance. Journal of Cleaner production, 167, 1387-1400.10. Disclosures, Task Force on Climate-Related Financial. (2017). Recommendations of the Task Force on Climate-related Financial Disclosures.11. Fama, Eugene F, & French, Kenneth R. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, 50(1), 131-155.12. Görgen, Maximilian, Jacob, Andrea, Nerlinger, Martin, Riordan, Ryan, Rohleder, Martin, & Wilkens, Marco. (2020). Carbon Risk. SSRN.13. Garvey, Gerald T, Iyer, Mohanaraman, & Nash, Joanna. (2018). Carbon footprint and productivity: does the “E” in ESG capture efficiency as well as environment.Journal of Investment Management,16(1), 59-69.14. Group, European Financial Reporting Advisory. (2022). EFRAG delivers the first 38 set of draft ESRS to the European Commission.15. Hsu, Po Hsuan, Li, Kai, & Tsou, Chi Yang. (2022). The Pollution Premium. Journal of Finance, Forthcoming.16. In, Soh Young, Park, Ki Young, & Monk, Ashby. (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).17. Kahn, Matthew E., Mohaddes, Kamiar, Ng, Ryan N. C., Pesaran, M. Hashem, Raissi, Mehdi, & Yang, Jui-Chung. (2019). Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis.18. Krueger, Philipp, Sautner, Zacharias, & Starks, Laura T. (2020). The importance of climate risks for institutional investors. The Review of Financial Studies, 33(3), 1067-1111.19. Liese, Peter. (2023). Revision of the EU emission trading system (ETS).20. Matsumura, Ella Mae, Prakash, Rachna, & Vera-Munoz, Sandra C. (2014). Firmvalue effects of carbon emissions and carbon disclosures. The accounting review, 89(2), 695-724.21. Millischer, Laurent, Evdokimova, Tatiana, & Fernandez, Oscar. (2023). The carrot and the stock: In search of stock-market incentives for decarbonization. Energy Economics, 120, 106615.22. Nguyen, Justin Hung, & Phan, Hieu V. (2020). Carbon risk and corporate capital structure. Journal of Corporate Finance, 64, 101713.23. Oestreich, A. Marcel, & Tsiakas, Ilias. (2015). Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme. Journal of Banking & Finance 58, 294–308.24. Programme, The United Nations Environment. (2022). The Closing Window -Climate crisis calls for rapid transformation of societies.25. Radu, Camélia, & Maram, Samaneh. (2021). The value relevance of reported carbon emissions.Journal of Management and Governance, 25, 347-377.26. Santikarn, Marissa, Churie Kallhauge, Angela Naneu, Bozcaga, Mustafa Ozgur, Sattler, Leyla, Mccormick, Michael Stephen, Ferran Torres, Ana,Mikolajczyk, Szymon. (2021). State and trends of carbon pricing.27. Shefrin, Hersh, & Statman, Meir. (1995). Making sense of beta, size, and book-39to-market. Journal of Portfolio Management, 21(2), 26.28. The Network of Central Banks and Supervisors for Greening the Financial System, NGFS. (2022). Final Report on Bridging Data Gaps-Network for Greening the Financial System Technical Document.29. Trinks, Arjan, Mulder, Machiel, & Scholtens, Bert. (2020). An efficiency perspective on carbon emissions and financial performance. Ecological Economics, 175, 106632.30. Wang, Mao-Chang, & Chen, Zhe. (2021). The relationship among environmental performance, R&D expenditure and corporate performance: Using simultaneous equations model. Quality & Quantity, 1-15.31. Witkowski, Pawel, Adamczyk, Adam, & Franek, Slawomir. (2021). Does Carbon Risk Matter? Evidence of Carbon Premium in EU Energy-Intensive Companies.energies, 14. 描述 碩士
國立政治大學
金融學系
110352003資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110352003 資料類型 thesis dc.contributor.advisor 楊曉文 zh_TW dc.contributor.advisor Yang, Sharon en_US dc.contributor.author (Authors) 毛慕耘 zh_TW dc.contributor.author (Authors) Mao, Mu-Yun en_US dc.creator (作者) 毛慕耘 zh_TW dc.creator (作者) Mao, Mu-Yun en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:45:38 (UTC+8) - dc.date.available 6-Jul-2023 16:45:38 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:45:38 (UTC+8) - dc.identifier (Other Identifiers) G0110352003 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145854 - 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) 110352003 zh_TW dc.description.abstract (摘要) 隨著全球氣候暖化加劇，許多政府將減碳視為重要任務，而相關政策對於企業的影響必定有所增加。投資人也開始意識到氣候風險，並試圖將其納入投資流程。而過去企業碳排放量與股價表現的相關研究，範圍多著重於歐美地區，因此本研究目的在於衡量在臺灣企業的碳排放量對該企業股價之影響，以及探索企業碳排放量與股價超額報酬的關聯，和綠色行動方案 1.0 對低碳轉型的影響。研究分析結果顯示，臺灣企業的碳排放總量與股價報酬呈現正相關，而碳排放密度與股價報酬呈現負相關。此外，碳排密度對報酬的負面影響是近年才出現的，而碳排總量對報酬的正向影響則趨弱。接著本文在全產業或高碳排產業中，將公司以碳排放量排序並區分高低碳排組別，並發現高碳總量組與低碳密度組均發現了超額報酬。而且在高碳產業中，低密度組的正向超額報酬在後期轉為顯著，高碳總量組的超額報酬則在後期消失。依據上述結果，本文肯定投資於低碳排公司的獲利能力，尤其在企業的碳密度指標上。隨著臺灣於近年加緊低碳轉型的腳步，本研究建議在引導綠色投資資金上，可從使用低碳密度指標為出發，有望在未來同時取得環境與投資人報酬的平衡。 zh_TW dc.description.abstract (摘要) As global climate change worsens, governments prioritize carbon reduction, impacting businesses. Investors recognize climate risks and seek to incorporate them into investments. This study evaluates the influence of carbon emissions on stock prices in Taiwanese companies and explores the relationship between carbon emissions and stock excess returns. The Green Action Plan 1.0`s impact on lowcarbon transformation is also considered.Analysis shows a positive correlation between total carbon emissions of Taiwanese companies and stock returns. Conversely, carbon intensity has a negative correlation. The negative effect of carbon intensity on returns emerged recently, while the positive impact of total carbon emissions weakened. The study validates the hypothesis of low-carbon excess returns in Taiwan. Both high-sum and low-intensity groups achieved excess returns, regardless of industry. In high-carbon industries, the low-intensity group had significant positive excess returns later, while excess returns diminished for high-carbon groups. The study concludes that, compared to the carbon premium hypothesis, low-carbon excess returns partially hold true in Taiwan, especially considering the carbon intensity indicator. This study aims to balance environmental sustainability and investor returns and recommends using the low-carbon intensity indicator as a foundational metric for guiding green investments. en_US dc.description.tableofcontents 目錄第一章 緒論 ............................... 1第一節 研究背景.............................1第二節 研究動機與目的........................4第三節 研究架構.............................5第二章 文獻探討 ........................... 6第一節 氣候風險文獻............... ..........6第二節 碳排放量對企業績效之影響...............7一、高碳排放量對企業估值之衝擊................7二、碳排放溢酬..............................8第三章 研究方法 ........................... 12第一節 研究假說.............................12一、臺灣企業揭露之碳排放與股價報酬............12二、全產業與高碳產業之碳溢酬.................13三、綠色政策實施前後期高碳排產業之碳溢酬情形...14四、綠色金融行動政策影響.....................15第三節 變數衡量.............................16一、應變數..................................16二、自變數..................................17三、控制變數.................................17第四節 實證模型..............................20第四章 實證結果分析 ........................ 23第一節 研究樣本..............................23第二節 敘述統計..............................24第三節 相關係數..............................25第四節 實證結果分析..........................27一、碳排放量對企業股價報酬之影響...............27二、高/低碳投組之超額報酬驗證..................30三、高碳排產業超額報酬於綠色政策實施前後期變化...31四、雙重差分 (Difference in differences)結果...33五、小結......................................34第五章 結論與建議 ............................ 35V第一節 研究結論................................35第二節 研究限制與建議...........................36參考文獻...................................... 37 zh_TW dc.format.extent 1804073 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110352003 en_US dc.subject (關鍵詞) 碳排放 zh_TW dc.subject (關鍵詞) 低碳 zh_TW dc.subject (關鍵詞) 綠色轉型 zh_TW dc.subject (關鍵詞) 股價報酬 zh_TW dc.subject (關鍵詞) 超額報酬 zh_TW dc.subject (關鍵詞) Carbon emission en_US dc.subject (關鍵詞) Low-carbon trend en_US dc.subject (關鍵詞) Green economy transition en_US dc.subject (關鍵詞) Stock return en_US dc.subject (關鍵詞) Alpha en_US dc.title (題名) 臺灣企業碳排放量與碳溢酬之探討 zh_TW dc.title (題名) Exploring the Relationship between Carbon Emissions and Carbon Premium in Taiwanese Corporations en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Ardia, David, Bluteau, Keven, Boudt, Kris, & Inghelbrecht, Koen. (2022). Climate change concerns and the performance of green versus brown stocks. SSRN.2. The Companies Strategic Report- Climaterelated Financial Disclosure Regulations, (2022).3. Bansal, Ravi, Kiku, Dana, & Ochoa, Marcelo. (2016). Price of long-run temperature shifts in capital markets.4. Barber, Bead M, & Lyon, John D. (1997). Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms. The Journal of Finance,52(2), 875-883.5. Bolton, Patrick, & Kacperczyk, Marcin. (2020). Carbon Premium Around the World. SSRN.6. Bolton, Patrick, & Kacperczyk, Marcin. (2021). Do investors care about carbon risk? Journal of Financial Economics, 142(2), 517-549. doi:10.1016/j.jfineco.2021.05.0087. Commission, U.S. Securities and Exchange. (2022). Enhancement and Standardization of Climate-Related Disclosures.8. Convery, Frank J. (2009). Origins and development of the EU ETS. Environmental and Resource Economics, 43, 391-412.9. Cucchiella, F, Gastaldi, M, & Miliacca, M. (2017). The management of greenhouse gas emissions and its effects on firm performance. Journal of Cleaner production, 167, 1387-1400.10. Disclosures, Task Force on Climate-Related Financial. (2017). Recommendations of the Task Force on Climate-related Financial Disclosures.11. Fama, Eugene F, & French, Kenneth R. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, 50(1), 131-155.12. Görgen, Maximilian, Jacob, Andrea, Nerlinger, Martin, Riordan, Ryan, Rohleder, Martin, & Wilkens, Marco. (2020). Carbon Risk. SSRN.13. Garvey, Gerald T, Iyer, Mohanaraman, & Nash, Joanna. (2018). Carbon footprint and productivity: does the “E” in ESG capture efficiency as well as environment.Journal of Investment Management,16(1), 59-69.14. Group, European Financial Reporting Advisory. (2022). EFRAG delivers the first 38 set of draft ESRS to the European Commission.15. Hsu, Po Hsuan, Li, Kai, & Tsou, Chi Yang. (2022). The Pollution Premium. Journal of Finance, Forthcoming.16. In, Soh Young, Park, Ki Young, & Monk, Ashby. (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).17. Kahn, Matthew E., Mohaddes, Kamiar, Ng, Ryan N. C., Pesaran, M. Hashem, Raissi, Mehdi, & Yang, Jui-Chung. (2019). Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis.18. Krueger, Philipp, Sautner, Zacharias, & Starks, Laura T. (2020). The importance of climate risks for institutional investors. The Review of Financial Studies, 33(3), 1067-1111.19. Liese, Peter. (2023). Revision of the EU emission trading system (ETS).20. Matsumura, Ella Mae, Prakash, Rachna, & Vera-Munoz, Sandra C. (2014). Firmvalue effects of carbon emissions and carbon disclosures. The accounting review, 89(2), 695-724.21. Millischer, Laurent, Evdokimova, Tatiana, & Fernandez, Oscar. (2023). The carrot and the stock: In search of stock-market incentives for decarbonization. Energy Economics, 120, 106615.22. Nguyen, Justin Hung, & Phan, Hieu V. (2020). Carbon risk and corporate capital structure. Journal of Corporate Finance, 64, 101713.23. Oestreich, A. Marcel, & Tsiakas, Ilias. (2015). Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme. Journal of Banking & Finance 58, 294–308.24. Programme, The United Nations Environment. (2022). The Closing Window -Climate crisis calls for rapid transformation of societies.25. Radu, Camélia, & Maram, Samaneh. (2021). The value relevance of reported carbon emissions.Journal of Management and Governance, 25, 347-377.26. Santikarn, Marissa, Churie Kallhauge, Angela Naneu, Bozcaga, Mustafa Ozgur, Sattler, Leyla, Mccormick, Michael Stephen, Ferran Torres, Ana,Mikolajczyk, Szymon. (2021). State and trends of carbon pricing.27. Shefrin, Hersh, & Statman, Meir. (1995). Making sense of beta, size, and book-39to-market. Journal of Portfolio Management, 21(2), 26.28. The Network of Central Banks and Supervisors for Greening the Financial System, NGFS. (2022). Final Report on Bridging Data Gaps-Network for Greening the Financial System Technical Document.29. Trinks, Arjan, Mulder, Machiel, & Scholtens, Bert. (2020). An efficiency perspective on carbon emissions and financial performance. Ecological Economics, 175, 106632.30. Wang, Mao-Chang, & Chen, Zhe. (2021). The relationship among environmental performance, R&D expenditure and corporate performance: Using simultaneous equations model. Quality & Quantity, 1-15.31. Witkowski, Pawel, Adamczyk, Adam, & Franek, Slawomir. (2021). Does Carbon Risk Matter? Evidence of Carbon Premium in EU Energy-Intensive Companies.energies, 14. zh_TW
