资本资产定价模型
风险溢价
文件夹
市场投资组合
公司治理
经济
污染
系统性风险
市场风险
金融经济学
业务
计量经济学
财务
生物
生态学
作者
PO‐HSUAN HSU,Kai Li,Chi-Yang Tsou
摘要
ABSTRACT This paper studies the asset pricing implications of industrial pollution. A long‐short portfolio constructed from firms with high versus low toxic emission intensity within an industry generates an average annual return of 4.42%, which remains significant after controlling for risk factors. This pollution premium cannot be explained by existing systematic risks, investor preferences, market sentiment, political connections, or corporate governance. We propose and model a new systematic risk related to environmental policy uncertainty. We use the growth in environmental litigation penalties to measure regime change risk and find that it helps price the cross section of emission portfolios' returns.
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