Carbon Emissions and Assets Pricing——Evidence from Chinese Listed Firms

In the context of China’s efforts to achieve the goal of “carbon peak” and “carbon neutrality”, this article uses manually collected data on Chinese listed firms from 2009 to 2019 to study the relationship between corporate carbon emissions and assets pricing. The study finds that companies with higher total carbon emission intensity and indirect carbon emission intensity have significantly higher excess returns on stocks and bonds, which passes various robustness tests, indicating that the financial market recognizes carbon emission risks and pays particular attention to corporate carbon emission intensity, that is, greenhouse gas emissions per unit of output. In addition, both the level and the annual growth rate of indirect carbon emissions are positively associated with the excess return on stocks. Indirect carbon emissions are only related to the electricity consumption and heat consumption of enterprises and are easier to observe than direct carbon emissions. Therefore, investors are more sensitive to indirect carbon emissions. Higher corporate environmental, social, and governance(ESG) ratings and environmental scores significantly weaken the relationship between carbon emission intensity and stock returns, indicating that better corporate environmental governance is beneficial to reduce carbon emission risks, while higher regulatory pressure from the government will increase carbon risk premium. Results of heterogeneity tests indicate that compared with high-emission industries, firms within low-emission industries bear higher carbon risk premium.