本研究旨在探討台灣市場是否存在碳溢酬之現象，即投資人是否會將碳排放之監管與法規視為風險進而要求高碳排企業股票提供風險溢酬，達到較高之報酬率，並先後以兩個回歸模型進行分析。本研究樣本對向為台灣上市公司股票，期間為2015~2021年，總樣本數量為3244筆。本研究發現不論在普通最小平方法(OLS)或考慮時間固定效果下，僅範疇一碳排放量與總碳排放量對於股票報酬具正面影響，且範疇一碳排放量之係數最顯著，但在加入產業固定效果後，則皆不顯著，表示碳排放量對於股票報酬率之影響存在產業效果，而其他碳排放量變數如碳排放年增率與碳密度皆對報酬率無顯著影響。
本研究發現透過高碳排企業-低碳排企業之long/short投資組合未能帶來顯著正向的超額報酬，甚至截距項(alpha)係數為負，本研究發現原因在於建構投組時，高碳排企業幾乎充斥著高碳排產業如油電燃氣業、鋼鐵工業、水泥工業、與塑膠工業等，而本研究發現在這些高碳排產業樣本中，因為高碳排產業容易受到投資人負面評價，故越高碳排者評價越低，投資人越不願意購入，再考量監管成本後，投資者可能更關注公司的盈利能力而對碳排放的影響較不關注，使高碳排產業間碳排與報酬率相關性較低甚至呈現負值，故造成其Fama-Franch回歸結果之截距項係數為負值。本研究亦發現將高碳排產業排除後，範疇一碳排放量對於企業股票報酬率之影響顯著為正，且排除越多高碳排產業時，該現象越強，是以先將高碳排產業排除後再進行投資組合建構，可能帶來較佳表現，惟截距項仍不顯著，臺灣市場不存在碳溢酬現象。因我國法規與碳排交易體系尚不完整，本研究認為台灣投資人尚未將碳風險納入投資考量，未向高碳排企業要求風險溢酬。

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