绿色投资者对股票价格的影响（英）

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