This paper studies the asset pricing implications of industrial pollution. A long-short portfolio constructed from firms with high versus low toxic emission intensity within an industry generates an average annual return of 4.42%, which remains significant after controlling for risk factors. This pollution premium cannot be explained by existing systematic risks, investor preferences, market sentiment, political connections, or corporate governance. We propose and model a new systematic risk related to environmental policy uncertainty. We use the growth in environmental litigation penalties to measure regime change risk and find that it helps price the cross section of emission portfolios' returns.

中文翻译：

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污染溢价

本文研究了工业污染对资产定价的影响。由行业内有毒物质排放强度高与低的公司构成的多空投资组合产生的平均年回报率为 4.42%，在控制风险因素后仍然显着。这种污染溢价无法用现有的系统性风险、投资者偏好、市场情绪、政治关系或公司治理来解释。我们提出并模拟了一种与环境政策不确定性相关的新系统风险。我们使用环境诉讼处罚的增长来衡量制度变更风险，并发现它有助于对排放组合回报的横截面进行定价。