Financial markets can support the transition to a low-carbon economy by redirecting funds from highly emissive to clean investments. We study whether European stock markets take carbon prices into account in company valuations and to what degree they discriminate between firms with different carbon intensities. Using a novel dataset containing stock prices and carbon intensities of 338 European publicly traded companies between 2013 and 2021, we find a strongly statistically significant relationship between weekly carbon price changes and stock returns. Crucially, this relationship depends on firms’ carbon intensity: the higher the carbon costs a firm faces, the poorer its stock performance during the periods of carbon price increases. Emissions that firms cover with free allowances however do not impact this relationship, illustrating how, in the absence of carbon pricing, data disclosure alone might not be sufficient for financial markets to support climate change mitigation. The relationship we identify can provide an incentive for firms to decarbonize. We argue in favor of more ambitious carbon pricing policies, as this would strengthen the stock-market incentive channel.

金融市场可以通过将资金从高排放投资转向清洁投资来支持向低碳经济的过渡。我们研究了欧洲股票市场是否在公司估值中考虑了碳价格，以及它们在多大程度上区分了具有不同碳强度的公司。使用包含 2013 年至 2021 年间 338 家欧洲上市公司的股票价格和碳强度的新数据集，我们发现每周碳价格变化与股票回报之间存在显着的统计学关系。至关重要的是，这种关系取决于公司的碳强度：公司面临的碳成本越高，其股票在碳价上涨期间的表现就越差。然而，公司用免费配额覆盖的排放不会影响这种关系，说明如何，在没有碳定价的情况下，仅靠数据披露可能不足以让金融市场支持减缓气候变化。我们确定的关系可以为企业脱碳提供激励。我们支持更雄心勃勃的碳定价政策，因为这将加强股市激励渠道。