Focusing on biodiversity risks, we perform an empirical asset pricing analysis and document three main results. First, the factor going long on low biodiversity intensity assets and short on high biodiversity intensity ones as well as the factors based on the biodiversity intensity subcomponents (land use, greenhouse gases—GHG, air pollution, and water pollution) have heterogeneous dynamics but are not spanned by the Fama and French (2015) and carbon factors. Second, the biodiversity factor excluding the GHG subcomponent (ex-GHG) commands a positive risk premium on realized returns and a negative one on expected returns in the sector highly exposed to the double materiality of biodiversity risks (i.e., physical and transition risks). Third, we show that the negative premium of both the biodiversity and the ex-GHG biodiversity factors on expected returns has materialized strongly from 2021 onward and that it amplifies with attention to biodiversity issues and risk aversion.

中文翻译：

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 生物多样性溢价


我们专注于生物多样性风险，进行实证资产定价分析并记录了三个主要结果。首先，多头生物多样性强度资产和短头高生物多样性强度资产的因素，以及基于生物多样性强度子组成部分（土地利用、温室气体——温室气体、空气污染和水污染）的因素具有异质性动态，但未被 Fama 和 French（2015 年）和碳因素所涵盖。其次，不包括温室气体子成分（除温室气体）的生物多样性因素在高度暴露于生物多样性风险双重重要性（即物理风险和转型风险）的行业中，对已实现回报的风险溢价为正，对预期回报的风险溢价为负。第三，我们表明，从 2021 年开始，生物多样性和前 GHG 生物多样性因素对预期回报的负溢价已经强烈地实现，并且随着对生物多样性问题和风险规避的关注而放大。