It is increasingly recognized that a transition to sustainable finance is crucial to scale up the low-carbon investments needed to achieve the global climate targets. A main barrier to portfolios' decarbonization is the lack of conclusive evidence on whether low-carbon investments add value to a portfolio, and on whether markets react to climate announcements by rewarding (penalizing) low-carbon (carbon-intensive) assets. To fill this gap, we develop an empirical analysis of the low-carbon and carbon-intensive indices for the EU, US and global stock markets. We test if financial markets are pricing the Paris Agreement (PA) by decreasing (increasing) the systematic risk and increasing (decreasing) the portfolio weights of low-carbon (carbon-intensive) indices afterwards. We find that after the PA the correlation among low-carbon and carbon-intensive indices drops. The overall systematic risk for the low-carbon indices decreases consistently, while stock markets' reaction is mild for most carbon-intensive indices. Moreover, the weight of the low-carbon indices within an optimal portfolio tends to increase after the PA. This evidence suggests that stock market investors have started to consider low-carbon assets as an appealing investment opportunity after the PA but have not penalized yet carbon-intensive assets.

中文翻译：

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对碳风险视而不见？股市对《巴黎协定》的反应分析

人们越来越认识到，向可持续金融转型对于扩大实现全球气候目标所需的低碳投资至关重要。投资组合脱碳的一个主要障碍是缺乏关于低碳投资是否为投资组合增加价值以及市场是否通过奖励（惩罚）低碳（碳密集型）资产来对气候公告做出反应的确凿证据。为了填补这一空白，我们对欧盟、美国和全球股票市场的低碳和碳密集指数进行了实证分析。我们测试金融市场是否通过降低（增加）系统风险和随后增加（减少）低碳（碳密集型）指数的投资组合权重来为巴黎协定（PA）定价。我们发现，在 PA 之后，低碳和碳密集指数之间的相关性下降。低碳指数的整体系统性风险持续下降，而大多数碳密集型指数的股市反应温和。此外，优化组合中低碳指数的权重在 PA 后趋于增加。这一证据表明，在 PA 之后，股市投资者已开始将低碳资产视为有吸引力的投资机会，但尚未惩罚碳密集型资产。