管理评论

管理评论 ›› 2026, Vol. 38 ›› Issue (2): 56-68.

• 经济与金融管理 • 上一篇    

气候风险如何冲击股票市场？——基于物理风险和转型风险双视角

龙文1,2,3, 王冰倩1,2,3, 贺小洛1,3   

  1. 1. 中国科学院大学经济与管理学院, 北京 100190;
    2. 中国科学院虚拟经济与数据科学研究中心, 北京 100190;
    3. 中国科学院大数据挖掘与知识管理重点实验室, 北京 100190
  • 收稿日期:2024-07-03 发布日期:2026-03-13
  • 作者简介:龙文，中国科学院大学经济与管理学院、中国科学院虚拟经济与数据科学研究中心研究员，博士生导师，博士；王冰倩（通讯作者），中国科学院大学经济与管理学院、中国科学院虚拟经济与数据科学研究中心，硕士；贺小洛，中国科学院大学经济与管理学院，硕士。
  • 基金资助:
    国家自然科学基金面上项目（72471223；72231010）。

How does Climate Risk Impact the Stock Market? —From the Perspective of Physical Risk and Transition Risk

Long Wen1,2,3, Wang Bingqian1,2,3, He Xiaoluo1,3   

  1. 1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
    2. Research Center on Fictitious Economy and Data Science, Chinese Academy of Sciences, Beijing 100190;
    3. Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing 100190
  • Received:2024-07-03 Published:2026-03-13

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摘要： 本文从物理风险与转型风险两个视角构建了气候风险测度框架，利用气温、海平面、降水等指标衡量物理风险，使用LDA方法分析气候政策文本，结合中国国情提取7个政策主题，用其主题强度衡量转型风险。在Fama-French因子模型基础上，本文发现，物理风险与转型风险对股票市场超额收益率均表现出显著的负向冲击，且高碳排放强度企业抵抗两种风险冲击的能力均更弱，而规模较大的企业抵抗物理风险的能力更强，但对转型风险的缓释能力更弱。除了企业自身特性导致的抗风险能力差异外，从企业所处不同气候风险的情况来看，当面对高物理风险时，企业更容易受到转型风险的影响，这种负向影响是低物理风险时期的5倍。本文进一步从市场预期角度进行解释，结果表明，在面对物理风险时，投资者悲观预期效应使得物理风险的不利影响被放大；而在面对转型风险时，投资者悲观预期效应与信息披露效应起到了对冲的作用。

关键词: 气候风险, 物理风险, 转型风险, 股票超额收益率, 市场预期

Abstract: In this paper, climate risk is measured from two aspects: physical risk and transition risk. Specifically, temperature, sea level, precipitation are used to measure physical risk. And LDA method is used to analyze Chinese climate policy texts, from which we extract seven policy themes and then measure transition risks through the theme intensity. Based on the Fama-French factor model, this paper finds that both physical risk and transition risk have a significant negative impact on the excess return of the stock market, and enterprises with higher carbon emission intensity have a weak ability to resist the two kinds of risk shocks, while enterprises with larger scale have a strong ability to resist physical risk and a weak ability to mitigate transition risk. From the perspective of different climate risks degree, enterprises may be more susceptible to the impact of transition risk when facing high physical risk, and this negative impact is 5 times stronger than when they face low physical risk. This paper further explains the main effect with market expectations. The results show that the negative impact of physical risk is amplified by the effect of investors’ pessimistic expectations, while in the confront of transition risk, this effect and the information disclosure effect play a hedging role.

Key words: climate risk, physical risk, transition risk, excess stock return, market expectation