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題名 企業碳排對股票報酬之影響－以台灣上市公司為例
The Impact of Firm Level Carbon Emission on Stock Return: An Examination through Taiwan Listed Company作者 黃懷宇
Huang, Huai-Yu貢獻者 徐政義
黃懷宇
Huang, Huai-Yu關鍵詞 碳排放
氣候變遷
股票報酬
Carbon Emission
Climate Change
Stock Return日期 2023 上傳時間 2-Aug-2023 13:10:26 (UTC+8) 摘要 隨著全球對於碳排議題的重視程度日益加重，也連帶影響對企業溫室氣體排放的規範或法規趨嚴。過去已有許多針對美國或是歐盟地區企業碳排對股票報酬的影響，本篇論文旨在探討台灣上市公司碳排對股票報酬的影響，透過複製Bolton及Kacperczyk (2021)的模型進行實證。本文研究區間為2016年至2021年，將以最小平方法及Fama-MacBeth兩種迴歸模型進行實證研究。使用最小平方法迴歸模型進行分析，發現範疇一至範疇三的總碳排及範疇三碳密度對股票報酬影響具顯著性，範疇一總碳排及範疇三碳密度呈現正相關，而範疇二及範疇三總碳排則呈現負相關，然而，在加入時間及產業固定效果後，範疇一總碳排則不顯著。由Fama-MacBeth迴歸所得之結果，僅發現範疇三碳排年變化具顯著性，且與股票報酬為正相關，而在總碳排及碳密度中，並未找到影響股票報酬的證據。綜合上述，確實可以找到台灣上市公司碳排變數對股票報酬影響的證據，然而，目前市場對於何種因變數能影響股票報酬表現仍眾說紛紜，因此，期待後續能有更多相關的研究。
As global concerns about carbon emissions continue to escalate, there is an increasing trend towards stricter regulations and policies regarding greenhouse gas (GHG)emissions for businesses. While numerous studies have focused on the impact of carbon emissions on stock returns in the United States and EU. This paper aims to explore the influence of carbon factors on stock returns for Taiwan listed companies, using a replication of the model proposed by Bolton and Kacperczyk (2021a).The study period for this paper is from 2016 to 2021, and empirical research will be conducted using both the ordinary least squares (OLS) and Fama-MacBeth regression models. Through the analysis using the OLS regression model, it was found that total carbon emissions in Scope 1 to Scope 3 and carbon intensity in Scope 3 have a significant impact on stock returns. Specifically, total carbon emissions in Scope 1 and carbon intensity in Scope 3 show a positive correlation with stock returns, while total carbon emissions in Scope 2 and Scope 3 exhibit a negative correlation. However, after incorporating time and industry fixed effects, the impact of total carbon emissions in Scope 1 becomes statistically insignificant.The results obtained from the Fama-MacBeth regression show that only the carbon emission growth in Scope 3 is significant and positively correlated with stock returns. No evidence was found for the impact of total carbon emissions and carbon intensity factors on stock returns. In summary, evidence of the influence of carbon factors on stock returns for Taiwan listed companies can indeed be found. However, there are still conflicting opinions in the market regarding which factors can affect stock returns. Therefore, further research in this area is highly anticipated.參考文獻 [1] Aswani, J., Raghuanandan, A. & Rajgopal, S. (2023). Are Carbon Emissions Associated with Stock Returns? Review of Finance, forthcoming, Available at SSRN: https://ssrn.com/abstract=3800193 or http://dx.doi.org/10.2139/ssrn.3800193[2] Anderson, M., Bolton, P. & Samama, F. (2016). Hedging Climate Risk. Financial Analysts Journal, 72 (3), 13-22.[3] Bolton, P., Halem, Z. & Kacperczzyk, M. (2022). The Financial Cost of Carbon. Journal of Applied Corporate Finance, 3 4(2), 17-29[4] Bolton, P. & Kacperczyk, M. (2021). Do investors care about carbon risk? Journal of Financial Economics, 142 (2), 517-549[5] Bolton, P. & Kacperczyk, M. (2022). Global Pricing of Carbon-Transition Risk. Journal of Finance, forthcoming, Available at SSRN: https://ssrn.com/abstract=3550233 or http://dx.doi.org/10.2139/ssrn.3550233[6] Clark, L. G., Feiner, A. & Viehs, M. (2015). From the Stockholder to the Stakeholder: How Sustainability Can Drive Financial Outperformance. Available at SSRN: https://ssrn.com/abstract=2508281.[7] Derwall, J., Bauer, R., Guenster, N., & Koedijk, K. C. G. (2005). The Eco-Efficiency Premium Puzzle. Financial Analysts Journal, 61 (2), 51–63.[8] Fama, F. E., MacBeth, D. J. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81 (3), 607-636.[9] 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.[10] Görgen, M., Jacob, A., Nerlinger, M., Riordan, R., Rohleder, M. & Wilkens, M., (2019). Carbon Risk. Unpublished working Paper. University of Augsburg.[11] Hoepner, A. G. F., Oiknomou, I., Sautner, Z., Starks, L. & Zhou X. (2022). ESG Shareholder Engagement and Downside Risk. AFA 2018 paper, European Corporate Governance Institute – Finance Working Paper No. 671/2020[12] Hsu, P. H., Li, K. & Tsou, C. Y. (2022). The Pollution Premium. Journal of Finance, Forthcoming.[13] Illhan, E., Sautner, Z. & Vilkov, G. (2021). Carbon Tail Risk. The Review of Financial Studies, 34 (3), 777-799[14] In, S. Y., Park, K. Y. & Monk, A. (2019). Is `Being Green` Rewarded in the Market?: An Empirical Investigation of Decarbonization and Stock Returns. Stanford Global Project Center Working Paper.[15] Matsumura, E. M., Parkash, R. & Vera-Munoz, S. C. (2014). Firm-Value Effects of Carbon Emissions and Carbon Disclosures. The Accounting Review, 89 (2), 695-724.[16] Monasterolo, I., & De Angelis, Luca. (2020). Blind to Carbon Risk? An Analysis of Stock Market Reaction to the Paris Agreement. Ecological Economics, 170.[17] Pedersen, L. H., Fitzgibbons, S. & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142 (2), 572-579[18] Seltzer, L., Starks, L. T. & Zhu, Q. (2022). Climate Regulatory Risks and Corporate Bonds. Nanyang Business School Research Paper No. 20-05, FBR of New York Staff Report No. 1014.[19] Zhang, S. (2022). Carbon Premium: Is It There? Unpublished working Paper. The Ohio State University.[20] 姜宛妤. “碳排放與公司治理評鑑對股價超額報酬之影響”, 國立清華大學財務金融碩士在職專班碩士論文”. (2022) 描述 碩士
國立政治大學
國際經營與貿易學系
110351016資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351016 資料類型 thesis dc.contributor.advisor 徐政義 zh_TW dc.contributor.author (Authors) 黃懷宇 zh_TW dc.contributor.author (Authors) Huang, Huai-Yu en_US dc.creator (作者) 黃懷宇 zh_TW dc.creator (作者) Huang, Huai-Yu en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 13:10:26 (UTC+8) - dc.date.available 2-Aug-2023 13:10:26 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 13:10:26 (UTC+8) - dc.identifier (Other Identifiers) G0110351016 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146333 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 110351016 zh_TW dc.description.abstract (摘要) 隨著全球對於碳排議題的重視程度日益加重，也連帶影響對企業溫室氣體排放的規範或法規趨嚴。過去已有許多針對美國或是歐盟地區企業碳排對股票報酬的影響，本篇論文旨在探討台灣上市公司碳排對股票報酬的影響，透過複製Bolton及Kacperczyk (2021)的模型進行實證。本文研究區間為2016年至2021年，將以最小平方法及Fama-MacBeth兩種迴歸模型進行實證研究。使用最小平方法迴歸模型進行分析，發現範疇一至範疇三的總碳排及範疇三碳密度對股票報酬影響具顯著性，範疇一總碳排及範疇三碳密度呈現正相關，而範疇二及範疇三總碳排則呈現負相關，然而，在加入時間及產業固定效果後，範疇一總碳排則不顯著。由Fama-MacBeth迴歸所得之結果，僅發現範疇三碳排年變化具顯著性，且與股票報酬為正相關，而在總碳排及碳密度中，並未找到影響股票報酬的證據。綜合上述，確實可以找到台灣上市公司碳排變數對股票報酬影響的證據，然而，目前市場對於何種因變數能影響股票報酬表現仍眾說紛紜，因此，期待後續能有更多相關的研究。 zh_TW dc.description.abstract (摘要) As global concerns about carbon emissions continue to escalate, there is an increasing trend towards stricter regulations and policies regarding greenhouse gas (GHG)emissions for businesses. While numerous studies have focused on the impact of carbon emissions on stock returns in the United States and EU. This paper aims to explore the influence of carbon factors on stock returns for Taiwan listed companies, using a replication of the model proposed by Bolton and Kacperczyk (2021a).The study period for this paper is from 2016 to 2021, and empirical research will be conducted using both the ordinary least squares (OLS) and Fama-MacBeth regression models. Through the analysis using the OLS regression model, it was found that total carbon emissions in Scope 1 to Scope 3 and carbon intensity in Scope 3 have a significant impact on stock returns. Specifically, total carbon emissions in Scope 1 and carbon intensity in Scope 3 show a positive correlation with stock returns, while total carbon emissions in Scope 2 and Scope 3 exhibit a negative correlation. However, after incorporating time and industry fixed effects, the impact of total carbon emissions in Scope 1 becomes statistically insignificant.The results obtained from the Fama-MacBeth regression show that only the carbon emission growth in Scope 3 is significant and positively correlated with stock returns. No evidence was found for the impact of total carbon emissions and carbon intensity factors on stock returns. In summary, evidence of the influence of carbon factors on stock returns for Taiwan listed companies can indeed be found. However, there are still conflicting opinions in the market regarding which factors can affect stock returns. Therefore, further research in this area is highly anticipated. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 研究目的 3第三節 研究架構 4第二章 文獻回顧 5第一節 碳風險相關文獻探討 5第二節 碳排量與報酬相關文獻探討 6第三節 碳密度與報酬相關文獻探討 8第三章 資料及研究方法 9第一節 資料與樣本 9第二節 研究方法 16第四章 實證結果 19第一節 普通最小平方法迴歸結果 19第二節 Fama-MacBeth迴歸結果 23第五章 結論 30參考文獻 32 zh_TW dc.format.extent 1360103 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351016 en_US dc.subject (關鍵詞) 碳排放 zh_TW dc.subject (關鍵詞) 氣候變遷 zh_TW dc.subject (關鍵詞) 股票報酬 zh_TW dc.subject (關鍵詞) Carbon Emission en_US dc.subject (關鍵詞) Climate Change en_US dc.subject (關鍵詞) Stock Return en_US dc.title (題名) 企業碳排對股票報酬之影響－以台灣上市公司為例 zh_TW dc.title (題名) The Impact of Firm Level Carbon Emission on Stock Return: An Examination through Taiwan Listed Company en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] Aswani, J., Raghuanandan, A. & Rajgopal, S. (2023). Are Carbon Emissions Associated with Stock Returns? Review of Finance, forthcoming, Available at SSRN: https://ssrn.com/abstract=3800193 or http://dx.doi.org/10.2139/ssrn.3800193[2] Anderson, M., Bolton, P. & Samama, F. (2016). Hedging Climate Risk. Financial Analysts Journal, 72 (3), 13-22.[3] Bolton, P., Halem, Z. & Kacperczzyk, M. (2022). The Financial Cost of Carbon. Journal of Applied Corporate Finance, 3 4(2), 17-29[4] Bolton, P. & Kacperczyk, M. (2021). Do investors care about carbon risk? Journal of Financial Economics, 142 (2), 517-549[5] Bolton, P. & Kacperczyk, M. (2022). Global Pricing of Carbon-Transition Risk. Journal of Finance, forthcoming, Available at SSRN: https://ssrn.com/abstract=3550233 or http://dx.doi.org/10.2139/ssrn.3550233[6] Clark, L. G., Feiner, A. & Viehs, M. (2015). From the Stockholder to the Stakeholder: How Sustainability Can Drive Financial Outperformance. Available at SSRN: https://ssrn.com/abstract=2508281.[7] Derwall, J., Bauer, R., Guenster, N., & Koedijk, K. C. G. (2005). The Eco-Efficiency Premium Puzzle. Financial Analysts Journal, 61 (2), 51–63.[8] Fama, F. E., MacBeth, D. J. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81 (3), 607-636.[9] 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.[10] Görgen, M., Jacob, A., Nerlinger, M., Riordan, R., Rohleder, M. & Wilkens, M., (2019). Carbon Risk. Unpublished working Paper. University of Augsburg.[11] Hoepner, A. G. F., Oiknomou, I., Sautner, Z., Starks, L. & Zhou X. (2022). ESG Shareholder Engagement and Downside Risk. AFA 2018 paper, European Corporate Governance Institute – Finance Working Paper No. 671/2020[12] Hsu, P. H., Li, K. & Tsou, C. Y. (2022). The Pollution Premium. Journal of Finance, Forthcoming.[13] Illhan, E., Sautner, Z. & Vilkov, G. (2021). Carbon Tail Risk. The Review of Financial Studies, 34 (3), 777-799[14] In, S. Y., Park, K. Y. & Monk, A. (2019). Is `Being Green` Rewarded in the Market?: An Empirical Investigation of Decarbonization and Stock Returns. Stanford Global Project Center Working Paper.[15] Matsumura, E. M., Parkash, R. & Vera-Munoz, S. C. (2014). Firm-Value Effects of Carbon Emissions and Carbon Disclosures. The Accounting Review, 89 (2), 695-724.[16] Monasterolo, I., & De Angelis, Luca. (2020). Blind to Carbon Risk? An Analysis of Stock Market Reaction to the Paris Agreement. Ecological Economics, 170.[17] Pedersen, L. H., Fitzgibbons, S. & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142 (2), 572-579[18] Seltzer, L., Starks, L. T. & Zhu, Q. (2022). Climate Regulatory Risks and Corporate Bonds. Nanyang Business School Research Paper No. 20-05, FBR of New York Staff Report No. 1014.[19] Zhang, S. (2022). Carbon Premium: Is It There? Unpublished working Paper. The Ohio State University.[20] 姜宛妤. “碳排放與公司治理評鑑對股價超額報酬之影響”, 國立清華大學財務金融碩士在職專班碩士論文”. (2022) zh_TW
