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绿色投资者对股票价格的影响（英）

公用事业2023-09-01国际清算银行S***

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This BIS Working Paper examines the impact of green investors on stock prices using a dynamic equilibrium asset-pricing model. The authors consider three types of investors: green, passive, and active. Green investors track an index that excludes firms with high greenhouse gas emissions, while active investors can buy stocks of brown firms and passive investors hold an index of the entire market. The study finds that the stock prices of high-emitting firms excluded by the green index fall significantly, leading to an increase in stock prices overall. The authors suggest that green investing may have a material impact on stock prices and could potentially influence corporate behavior.

BISWorkingPapers No1127 Theimpactofgreeninvestorsonstockprices byGongCheng,EricJondeau,BenoitMojonandDimitriVayanos MonetaryandEconomicDepartment September2023 JELclassification:G12,G23,Q54. Keywords:Assetpricing,greeninvesting,passiveinvesting,portfoliorebalancing. BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS. ThispublicationisavailableontheBISwebsite(www.bis.org). ©BankforInternationalSettlements2023.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated. ISSN1020-0959(print) ISSN1682-7678(online) TheImpactofGreenInvestorsonStockPrices∗ GongCheng1,EricJondeau2,BenoitMojon1,andDimitriVayanos31BankforInternationalSettlements 2HECLausanneandSwissFinanceInstitute 3LondonSchoolofEconomicsSeptember18,2023 Abstract Westudytheimpactofgreeninvestorsonstockpricesinadynamicequilibriumasset-pricingmodelwhereinvestorsaregreen,passiveoractive.Greeninvestorstrackanindexthatexcludesprogressivelythefirmswiththehighestgreenhousegasemissions.Activeinvestorsmaximizeexpectedreturnsandcanbuystocksofbrownfirmswhereaspassiveinvestorsholdanindexoftheentiremarket.Contrarytotheliterature,wefindalargefallinthestockpricesofthehigh-emittingfirmsthatareexcludedandinturnanincreaseinstockpricesofgreenerfirmswhentheexclusionstrategyisannouncedandduringthetransitionprocess.Theimmediateandlargeeffectsattheannouncementdateyieldafirst-moveradvantagetogreeninvestorsthatadoptthedecarbonizationstrategyearly.Thislargepriceimpactcomesfromtheimperfectsubstitutionofstocksamonginvestorpopulations.Asmallersizeofactiveinvestorsrelativetogreeninvestorsamplifiesthepriceimpactofgreeninvestment. JEL:G12,G23,Q54 Keywords:Assetpricing,greeninvesting,passiveinvesting,portfoliorebalancing ∗WethanktheparticipantsintheBISResearchMeetingandtheNGFSExpertNetworkonResearchwebi-narseriesfortheirconstructivecomments.WethankJingtongZhangforresearchassistance.Theauthors’contact:gong.cheng@bis.org,eric.jondeau@unil.ch,benoit.mojon@bis.org,d.vayanos@lse.ac.uk.TheviewspresentedinthispaperarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheBankforInternationalSettlements. 1Introduction Inthefightagainstclimatechange,theroleoffinancialassetownersandmanagersiswidelydebated.Aslargeinstitutionalinvestorsareinvestinginfinanciallydiversifiedportfolios,theyholdsharesoffirmswithhighgreenhousegas(GHG)emissionsandthuscontributetoglobalwarmingbyfinancingpollutingactivities.Therehavebeenanincreasingnumberofcorporateinitiativestopromotenetzeroinvestmentinrecentyears.CentralBanks,throughtheirNetworkforGreeningtheFinancialSystem(NGFS),havealsobeenreflectingongreeningcentralbanks’investmentportfolios.Twobroadapproachesprevail.Investorscaneitherdivestfromthebrownestfirmsorinfluencethetransitionofthosefirmstogreeneroperationsthroughtheirvotesatannualgeneralmeetings. Akeyquestionthatdrivesinvestors’considerationofthesetwonetzeroinvestmentstrate-giesconcernswhetherexclusionordivestmenteffectivelyraisesthecostofcapitalofbrownfirmsversusgreenfirmsandtherebyinfluencesbrownfirms’futurebusinessdevelopment.Inparticular,sharessoldbygreeninvestorswillbeboughtbylessclimate-consciousinvestors.Asaresult,theimpactofdivestmentonstockpriceswilldependonthewillingnessoftheseotherinvestorstoabsorbadditionalbrownstocks.Iftherearefewgreeninvestors,thenthepriceimpactwillbesmall(BerkandvanBinsbergen,2022).If,however,thecommunityofgreeninvestorsisgrowingtoselloffbrownstocks,thenthecounterpartsofgreeninvestorsmayrequireasignificantpricediscounttobuythesestocks. ThemainobjectiveofthepaperistoevaluatetheimpactonstockpricesofinstitutionalinvestorsreducingtheirexposuretofirmswiththehighestGHGemissions.Weconsiderthreecategoriesofinvestors.Passiveinvestorsorindexerstrackthemarketportfolioandrepresentthemassofnon-greenpassiveinstitutionalinvestors.Greeninvestorsalsotrackabenchmarkbutthisbenchmarkprogressivelyexcludesbrownfirms.Themostpollutingfirmsareexcludedfirstfromthegreenbenchmarkandeveryyearanadditionalsetoffirms,basedontheircarbonemissions,isexcluded.Thisgreenbenchmarkmimicsthestrategyof aportfoliowithadecreasingcarbonfootprint.Indicesexcludingbrownstocksprogressivelyarereferredtoas“netzero”or“Paris-consistent”indices,andhavebeengrowingovertime,soarethefundstrackingthem.1Activeinvestorsbuybrownstocksfromgreeninvestorsat adiscountedpricethatimplieshigherexpectedreturns. Giventheinvestmentdemandsofthethreetypesofinvestors,wesolvethemodelana-lyticallyfollowinganapproachsimilartotheonedevelopedbyJiang,VayanosandZheng(2022).2Foragivencalibrationofthemodelandadecarbonizationtrajectoryofthegreenindex,wedeterminethedynamicsofequilibriumpricesaswellasthoseofinvestors’demand.Thisapproachallowsustoassesstheimpactonexpectedandrealizedreturnsofdifferentscenariosregardingtheproportionofgreeninvestors. Inourbaselinecalibration,wherethe

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