The pricing of carbon transition risk is central to the debate on climate‐aware investments. Emissions are tightly linked to sales and are available to investors only with significant lags. The positive carbon return, or brown‐minus‐green return differential, documented in previous studies arises from forward‐looking firm performance information contained in emissions rather than a risk premium in ex ante expected returns. After accounting for the data release lag, carbon returns turn negative in the United States and insignificant globally. Developed markets experience lower carbon returns due to intense climate concern shocks, while countries with stringent climate policies exhibit higher carbon returns.

中文翻译：

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全球的碳回报


碳转型风险的定价是气候意识型投资辩论的核心。排放量与销售密切相关，并且只有在明显滞后的情况下才能提供给投资者。先前研究中记录的正碳回报或棕减绿回报差异来自排放中包含的前瞻性公司绩效信息，而不是事前预期回报中的风险溢价。在考虑数据发布滞后后，美国的碳回报变为负值，在全球范围内变得微不足道。由于强烈的气候问题冲击，发达市场的碳回报较低，而气候政策严格的国家则表现出更高的碳回报。