【摘要】 近年来全球气候变化的日益加剧引起了广泛关注.本研究首先将气候变化关注引入基于消费的资本资产定价框架，通过理论建模分析投资者的气候变化关注如何影响个股预期回报；然后基于气候变化相关关键词的百度资讯和百度指数构建气候变化关注指标，从影响效应和作用机制两个角度对中国A股市场上市企业进行实证检验.主要结论：第一，气候变化关注贝塔与个股未来超额收益呈负相关关系，且这种负向影响是时变的，在气候变化关注度越高时效果越显著；第二，环境绩效越好的企业所发行的股票，其气候变化关注贝塔对未来超额回报的负向效应将更加明显；第三，投资者的风险对冲需求是气候变化关注影响股票超额收益的重要机制，高气候变化关注贝塔股票的高需求主要受到投资者对企业现金流预期的变化、ESG偏好以及机构持股比例的驱动.更多还原

【Abstract】 The intensification of global climate change in recent years has attracted widespread attention.By introducing climate change attention into the consumption-based capital asset pricing model, this paper theoretically analyzes how investors’ climate change attention affects the expected returns of individual stocks. It then empirically tests the model’s hypothesis and mechanisms in China’s A-share market by constructing climate change attention indicators based on Baidu Information and Baidu Index related to the keywords of climate change.The results show that: First, the Beta of climate change attention has a negative effect on the future excess returns for individual stocks; this effect is time-varying and more pronounced during periods of high climate change attention. Second, the negative effects are more significant for the stocks issued by enterprises with better environmental performance. Third, investors’ risk hedging demand is an important mechanism through which climate change attention affects stock excess returns. This effect is mainly driven by changes in investors’ expectations of corporate cash flows, ESG preferences, and institutional shareholding ratios.更多还原