乾旱趨勢對美股報酬率的影響

Abstract

本研究主要探討投資人是否擔心處於長期乾旱趨勢嚴重地區的公司有較高的營運風險，因而要求較高之股票報酬率，採用1990年2月至2021年12月在美國NYSE、AMEX及Nasdaq交易所交易的公司進行分析。迴歸結果顯示處在長期乾旱趨勢嚴重地區的公司股票月報酬率顯著較其他地區的公司高，而且於樣本晚期2010年2月至2021年12月結果更為顯著。但此效果對於需要大量用水的公司並無更加強烈。

This study examines whether investors are concerned about the higher operational risks of companies located in areas with severe long-term drought conditions and therefore demand higher stock returns for these firms. Using a sample of companies traded on the NYSE, AMEX, and Nasdaq exchanges in the U.S. from February 1990 to December 2021, I find that the monthly stock returns of companies located in regions with severe long-term drought conditions are significantly higher than those of companies in other regions, especially during the sample period from February 2010 to December 2021. However, this effect is not stronger for companies in water-intensive industries.