We study the impact of climate risk on the stock returns of fossil fuel companies in international markets. Our results indicate that in the world market, a 1% increase in climate risk could increase the stock returns of fossil fuel companies by 3.02% to 4.27%. We also prove that this climate risk premium is notably more pronounced in countries with higher income levels. In addition, we find that the release of the IPCC 2007 report significantly changed the market's understanding of climate risk. Moreover, the readiness for climate risk of countries will also affect the returns of fossil fuel companies. Overall, our findings show a significant and heterogeneous existence of climate risk premium in fossil fuel companies and is conducive to promoting the understanding of climate risk in the equity market.

我们研究气候风险对国际市场上化石燃料公司股票回报的影响。我们的研究结果表明，在世界市场上，气候风险每增加 1%，化石燃料公司的股票回报率就会增加 3.02% 至 4.27%。我们还证明，这种气候风险溢价在收入水平较高的国家尤其明显。此外，我们发现IPCC 2007年报告的发布显着改变了市场对气候风险的认识。此外，各国对气候风险的准备程度也会影响化石燃料公司的回报。总体而言，我们的研究结果表明化石燃料公司气候风险溢价存在显着且异质性，有利于促进股市对气候风险的理解。