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The impact of carbon risk on the pricing efficiency of the capital market: Evidence from a natural experiment in china

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  • Gao, Bin
  • Zhang, Jinlong
  • Xie, Jun
  • Zhang, Wenjie

Abstract

This paper uses the Carbon Emissions Trading (CET) as a quasi-natural experiment to empirically test whether carbon risk affects the pricing efficiency of the capital market. Using data from A-share listed enterprises, this paper finds carbon risk increases stock price synchronicity and reduces the pricing efficiency of the capital market; Institutional investors alleviate the impact of carbon risk on stock price synchronicity by increasing the information content of stock prices; Media attention based on signal transmission channels and external supervision channels improve the pricing efficiency of carbon risk in the capital market. This research provides theoretical reference and practical suggestions for China to achieve the goal of carbon neutrality and ensure the smooth operation of the financial market.

Suggested Citation

  • Gao, Bin & Zhang, Jinlong & Xie, Jun & Zhang, Wenjie, 2023. "The impact of carbon risk on the pricing efficiency of the capital market: Evidence from a natural experiment in china," Finance Research Letters, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006402
    DOI: 10.1016/j.frl.2023.104268
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    References listed on IDEAS

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