纽约联储-理解碳排放定价：来自股市的新证据（英）

Understanding the Pricing of Carbon Emissions: New Evidence from the Stock Market Matteo Crosignani | Emilio Osambela | Matthew Pritsker NO. 1161 AUGUST 2025 Understanding the Pricing of Carbon Emissions: New Evidence from the Stock Market Matteo Crosignani, Emilio Osambela, and Matthew Pritsker Federal Reserve Bank of New York Staff Reports, no. 1161 August 2025 https://doi.org/10.59576/sr.1161 Abstract Are carbon emissions priced in equity markets? The literature is split with different approaches yielding conflicting results. We develop a stylized model showing that, if emissions are priced, stock returns depend on expected emissions and the product of the innovation in emissions and the price-dividend ratio. Building on this insight, we derive and test new predictions. We find that emissions are priced in equity markets, but the magnitude of such pricing is highly sensitive to the inclusion of a few “super emitters” (mostly operating in electric power generation). Our theoretical insight also helps reconcile seemingly divergent results in the literature. JEL classification: D62, G11, G12, Q54 Key words: carbon emissions, stock returns, cost of capital, ESG _________________ Crosignani: Federal Reserve Bank of New York (email: matteo.crosignani@ny.frb.org). Osambela: Federal Reserve Board of Governors (email: emilio.osambela@frb.gov). Pritsker: Federal Reserve Bank of Boston (email: matthew.pritsker@bos.frb.org). The authors thank Jitendra Aswani, Kent D. Daniel (discussant), Alex Edmans, Zhiguo He, Marcin Kacperczyk, Steve Pischke, Tuomas Tomunen (discussant), John Wald, Shaojun Zhang, as well as seminar and conference participants at MIT, 2024 NBER Summer Institute (EFEL), 2024 Milan IRMC Conference, and Financial Stability Climate Committee Conference on “Identification and Measurement of U.S. Climate-Related Financial Stability Risks” for useful comments and suggestions. Lily Gordon provided outstanding research assistance. They are also grateful to Erica Bucchieri, Alexander Echikson, Natalia Fischl-Lanzoni, and Elie Singer for their research assistance. This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in this paper are those of the author(s) and do not necessarily reflect the position of the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of Boston, the Federal Reserve Bank of New York, or the Federal Reserve System. Any errors or omissions are the responsibility of the author(s). To view the authors’ disclosure statements, visit https://www.newyorkfed.org/research/staff_reports/sr1161.html. 1IntroductionWhether carbon emissions are priced in asset markets is crucial not only for understandingif financial markets incentivize the transition to a less carbonized economy, but also forevaluating how climate-related exposures may affect asset