论文名称：Carbon dioxide and asset pricing: Evidence from international stock markets

作者：Chen, Z  ;刘津宇 ; Lu, AD ; 陶利斌

刊名：JOURNAL OF EMPIRICAL FINANCE

发表时间：2024.01

We use carbon dioxide (CO2 ) emissions growth to measure consumption risk within a consumption-based capital asset pricing model framework. Given the comprehensive worldwide coverage of CO2 emissions, this measure allows us to use the full history of stock market data in the US, Europe, the world, and fifteen international markets. For the US (Europe/the world), we are able to explain the observed equity market premium with a relative risk aversion of 6 (10/12), which is less than half the size of that estimated using the canonical expenditures-based consumption growth measure. The average estimated relative risk aversion across fifteen other international markets is 5. We also find evidence that the growth of CO2 emissions is a priced risk factor that captures the cross section of stock portfolio returns.