【摘要】 在中国致力于实现“碳达峰、碳中和”目标的大背景下，本文使用手工收集的2009年至2019年上市公司数据研究企业碳排放与资产定价之间的关系。研究发现，总碳排放强度和间接碳排放强度更高的企业具有显著更高的股票和债券超额收益率。这一结果通过了多种稳健性检验，说明金融市场认知碳排放风险，尤其关注企业碳排放强度，即单位产出所排放的温室气体量。此外，间接碳排放水平和年度增长率与股票超额收益率有显著的正向关系。间接碳排放只与企业耗电量和耗热量有关，比直接碳排放更容易观察，因此投资者对间接碳排放更加敏感。更高的企业环境、社会、治理(ESG)评级和环境评分显著减弱碳排放强度与股票收益率的关系，说明企业进行环境治理有利于降低碳排放风险，而市场监管压力的增强则会提高碳风险溢价。异质性检验结果表明，相较于高排放行业，低排放行业的碳风险溢价显著更高。更多还原

【Abstract】 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.更多还原