This study provides evidence on the existence of a negative greenium, i.e. a risk premium related to the greenness of a firm, based on European individual stock returns. We define a priced ‘greenness and transparency’ factor based on companies’ greenhouse gas emissions and the quality of their environmental disclosures, and show that what is priced by the market is the combination of environmental performance and environmental transparency. Based on this factor, we offer a tool to assess the exposure of a portfolio to the risk associated with the low-carbon transition, and hedge against it. We estimate that in a stressed scenario where greener and more transparent firms very much outperform brown stocks, there would be losses at the global level, including for European large banks, should investors fail to price climate-transition risks. These results call for the introduction of climate stress tests for systemically important financial institutions.

这项研究基于欧洲个人股票收益，提供了关于负绿色的存在的证据，即与公司绿色相关的风险溢价。我们根据公司的温室气体排放量和环境披露的质量定义了定价的“绿色和透明度”因素，并表明市场定价是环境绩效和环境透明度的结合。基于此因素，我们提供了一种工具来评估投资组合所面临的与低碳转型相关的风险，并对此进行对冲。我们估计，在压力更大的情况下，绿色和透明的公司的表现大大超过棕色股票，如果投资者未能为气候变化风险定价，包括欧洲大型银行在内的全球范围就会蒙受损失。