ABSTRACT

We examine climate transition risk in New Zealand (NZ) equities given that NZ’s greenhouse gas (GHG) emissions are dominated by agricultural emissions and that carbon pricing has been in place since 2008. We find disclosure has grown rapidly from 2010 and that disclosure is driven by, inter alia, size and sector membership (Energy, Manufacturing and Primary Industries). However, by 2018, only around half of NZX50 companies regularly disclose emissions, though this should increase steadily as NZ will adopt mandatory disclosures from 2023 onwards on a ‘report or explain basis’. In terms of ‘hypothetical carbon liabilities’, Genesis Energy and Air New Zealand are most exposed for Scope 1 and 2 emissions, but when upstream scope 3 GHG emissions are added, Fonterra (multinational dairy firm) is most at-risk. An asset pricing analysis shows that only volatility and extreme price movements in carbon price returns are priced. Overall, the results suggest that despite there being material climate transition risks for NZX50 equities, limited disclosure and low carbon prices mean that these risks are not likely to be fully priced in stock values.

摘要

鉴于新西兰的温室气体 (GHG) 排放主要以农业排放为主，并且碳定价自 2008 年起就开始实施，我们研究了新西兰 (NZ) 股票的气候转型风险。我们发现，自 2010 年以来，信息披露迅速增长，而且信息披露受到推动除其他外，还取决于规模和部门成员（能源、制造业和第一产业）。然而，到 2018 年，只有大约一半的 NZX50 公司定期披露排放量，尽管随着新西兰将从 2023 年起在“报告或解释的基础上”采用强制披露，这一数字应该会稳步增加。就“假设碳负债”而言，Genesis Energy 和新西兰航空在范围 1 和 2 排放方面面临的风险最大，但当加上上游范围 3 温室气体排放时，恒天然（跨国乳制品公司）面临的风险最大。资产定价分析表明，只有碳价格回报的波动性和极端价格变动才被定价。总体而言，结果表明，尽管 NZX50 股票存在重大气候转型风险，但有限的披露和低碳价格意味着这些风险不太可能完全反映在股票价值中。