An influential emerging literature documents strong correlations between carbon emissions and stock returns. We reexamine that data and conclude that these associations are driven by two factors. First, stock returns are correlated only with unscaled emissions estimated by the data vendor, but not with unscaled emissions actually disclosed by firms. Vendor-estimated emissions systematically differ from firm-disclosed emissions and are highly correlated with financial fundamentals, suggesting that prior findings primarily capture the association between such fundamentals and returns. Second, unscaled emissions, the variable typically used in academic literature, is correlated with stock returns but emissions intensity (emissions scaled by firm size), an equally important measure used in practice, is not. While unscaled emissions represent an important metric for society, we argue that, for individual firms, emissions intensity is an appropriate measurement choice to assess carbon performance. The associations between emissions and returns disappear after accounting for either of the issues above.

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碳排放与股票收益有关吗？

有影响力的新兴文献记录了碳排放与股票回报之间的强相关性。我们重新检查了该数据并得出结论，这些关联是由两个因素驱动的。首先，股票回报仅与数据供应商估计的未缩放排放量相关，但与公司实际披露的未缩放排放量无关。供应商估计的排放量系统地不同于公司披露的排放量，并且与财务基本面高度相关，这表明先前的发现主要捕捉了这些基本面与回报之间的关联。其次，学术文献中通常使用的未缩放排放量与股票收益相关，但排放强度（按公司规模缩放的排放量）与实践中使用的同样重要的衡量标准无关。虽然未缩放的排放量代表了社会的重要指标，但我们认为，对于个别公司而言，排放强度是评估碳绩效的适当衡量选择。考虑到上述任一问题后，排放与回报之间的关联就消失了。