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| Title: | 綠色溢酬、碳排放與 ESG 評分: 以美國股票市場為例
Green Premium, Carbon Emissions, and ESG Score: Evidence from the US Stock Market |
| Authors: | 黃柏翔
Huang, Po-Hsiang |
| Contributors: | 林士貴
羅秉政
Lin, Shih-Kuei
Kendro Vincent
黃柏翔
Huang, Po-Hsiang |
| Keywords: | 綠色溢酬
碳排放
ESG評分
氣候變遷
轉變點檢測
Green premium
Carbon emissions
ESG score
Climate change
Change point detection |
| Date: | 2023 |
| Issue Date: | 2023-09-01 14:47:47 (UTC+8) |
| Abstract: | 過往的研究在美國股票市場中發現「綠色溢酬」現象，意即綠色資產的表現優於棕色資產，先前的文獻認為此現象是受到氣候意識未預期的增長，進而導致綠色資產的優異報酬。隨著減緩氣候變遷成為全球的共識，本文認為市場的行為會有明顯的改變。本文發現綠色溢酬的顯著性不如原先預期，推論是受到市場對於氣候意識提高的反應。透過轉變點檢測，本文實證結果顯示金融市場對於氣候相關事件和政策變化有顯著反應，特別是針對美國證券交易委員會（SEC）對氣候揭露重視度提升以及聯合國第26屆氣候峰會（COP26）頒布的《格拉斯哥氣候協議》有所反應。
Previous studies have identified a "green premium" in the stock market, where green assets outperform their brown counterparts. This phenomenon has been attributed to unexpected increases in climate concerns by previous research, leading to the superior performance of green assets. As mitigating climate change becomes a global consensus, we propose a significant shift in market behavior. Our study reveals that green premiums are not as significant as previously assumed. We attribute this to changes in market behavior in response to heightened climate awareness. To corroborate our hypothesis, we employ change point detection techniques. Our findings suggest that the financial market reacts considerably to climate-related events and policy shifts. In particular, we observe significant market responses to the SEC`s intensified focus on climate disclosure and the announcement of the Glasgow Climate Pact at COP26. |
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| Description: | 碩士
國立政治大學
金融學系
110352028 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110352028 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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