棕色溢酬或綠色溢酬：一項調和性研究

Abstract

本研究透過將LSEG環境面向指標分解為排放與非排放兩項子指標，並結合原始報酬與DGTW調整後報酬，以調和綠色與棕色股票溢酬之間的矛盾研究發現。實證結果顯示，利用涵蓋逾二十年期的月資料進行Fama-MacBeth迴歸與投資組合排序分析後，綠色溢酬僅在使用原始報酬時顯著，而棕色溢酬則在使用DGTW調整後報酬時於短期內浮現。此外，該短期棕色溢酬會因排放表現最佳企業的報酬在投資人關注度驅動下出現反彈上升，而受到削弱。

This paper reconciles the conflicting findings on green and brown stock premia by decomposing the environmental pillar from LSEG into emission and non-emission components, using both raw returns and DGTW-adjusted returns. Using Fama-MacBeth regressions and portfolio sorting on monthly data over a twenty-year period, I find that green premium arises only when using raw returns, whereas brown premium emerges under DGTW-adjusted returns in the short run. In addition, this short-lived brown premium is attenuated by an attention-driven jump in DGTW-adjusted returns among firms with the best emission performance.