隨著全球對碳排議題的關注持續提升，各國陸續推出碳稅與碳排放交易制度等氣候政策，使碳排放成為企業面臨的實質財務風險，碳排放風險是否已反映於股票報酬中成為重要的研究議題。然而，既有文獻對碳排放與股票報酬的關係尚未形成一致結論，此外，碳排放資料的揭露時滯亦可能影響實證結果的可靠性。本研究以 2008 年至 2021 年美國上市公司為樣本，參考 Zhang (2025) 之方法，同時採用 Scope 1 碳排放強度、Scope 2 碳排放強度、Scope 1 碳排放總量及 Scope 2 碳排放總量等四種指標建構同期與滯後的綠色減棕色（GMB）投資組合因子，以 Fama-French 六因子模型檢驗投資組合的定價效應，並以 GMB β 衡量個股的碳排放風險曝露，最後透過 Fama-MacBeth 迴歸檢驗個股層級的風險溢酬。在投資組合分析中，Scope 1 碳排放強度、Scope 1 碳排放總量及 Scope 2 碳排放總量的 α 顯著為正，Scope 2 碳排放強度的 α 則不顯著，且 GRS 聯合檢定亦強烈拒絕所有 α 同時為零之虛無假設，而同期與滯後設定的 α 值高度一致。在個股層級，僅同期設定下 Scope 2 碳排放強度與 Scope 1 碳排放總量的 GMB β 風險溢酬顯著為正，滯後設定下所有指標皆不顯著。綜合而言，本研究發現碳排放風險在美國股票市場確實具有定價效應，低碳排投資組合的報酬顯著高於高碳排投資組合，然而，個股層級的定價效應則受碳排放資料時效性的影響，僅在同期設定下顯著，此發現顯示碳排放資料的揭露時滯對不同分析層級具有不對稱影響。

As global attention to carbon emissions continues to grow, countries have successively implemented climate policies such as carbon taxes and emission trading systems. These policies have transformed carbon emissions into a substantial financial risk for firms, making whether carbon emission risk is priced into stock returns a critical research topic. However, existing literature has not reached a consensus on the relationship between carbon emissions and stock returns. Furthermore, the disclosure lag of carbon emission data may compromise the reliability of empirical results.
Using U.S. listed firms from 2008 to 2021 and Zhang’s (2025) methodology, this study constructs contemporaneous and lagged Green-Minus-Brown (GMB) portfolio factors using four metrics: Scope 1 and 2 emission intensities, and Scope 1 and 2 total emissions. We employ the Fama-French six-factor model to examine portfolio pricing effects, use GMB β to measure individual stock carbon risk exposure, and conduct Fama-MacBeth regressions to test firm-level risk premiums.
In the portfolio analysis, alphas for Scope 1 intensity, Scope 1 total, and Scope 2 total emissions are significantly positive, while Scope 2 intensity is insignificant. The GRS joint test strongly rejects that all alphas simultaneously equal zero. Notably, alphas under contemporaneous and lagged settings remain highly consistent. At the firm level, only the contemporaneous GMB β risk premiums for Scope 2 intensity and Scope 1 total emissions are significantly positive; lagged premiums are insignificant across all metrics.
In conclusion, carbon emission risk is priced in the U.S. market, with low-carbon portfolios significantly outperforming high-carbon ones. However, the firm-level pricing effect is highly sensitive to carbon data timeliness, remaining significant only in contemporaneous settings. This finding reveals that disclosure lags in carbon emission data have an asymmetric impact across different levels of analysis.

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