Is There a Stock Premium Effect on Climate Change Risk
Under the background of global climate change,opportunities and challenges coexist in the stock market.Based on the an-nual financial report data of listed companies in Shanghai and Shenzhen stock markets from 2007 to 2022,this paper uses text min-ing technology and Word2Vec machine learning algorithm to construct a climate risk measurement index suitable for enterprises in Chinese context.The measurement results show that the climate risks faced by enterprises in China are fluctuating and rising,and more than 90％of them come from transformation risks,and there is obvious industry heterogeneity in climate risks.Furthermore,us-ing the two-way fixed effect model,this paper investigates the influence of climate risk on the expected return of the company's stock.The results show that:on the whole,there is a significant and stable positive climate risk premium in China stock market;The results of classification test show that there is a negative premium for climate physical risk and a positive premium for climate transi-tion risk;Climate risk can boost stock returns through three channels:improving corporate profitability,enhancing investor sentiment and enhancing media attention;Climate risk has a more significant positive effect on the stock returns of non-state-owned enterpris-es and low-emission enterprises.This study introduces the consideration of climate risk into the capital market,which enriches the relevant research on the economic effects of climate change and the influencing factors of stock returns in theory,expands the quanti-tative research on climate risk measurement at the enterprise level in practice,and provides empirical evidence and policy reference for the Chinese government to improve the climate information disclosure mechanism,enterprises to deal with climate change risks and investors to rationally price climate risks.
NETL
NSTL
万方数据
