隨著氣候變遷日益嚴峻。企業的碳排放量逐漸成為利害關係人關注的核心。臺灣雖已積累相當數量探討碳排放與企業股價關聯的研究報告。然而，國內多篇研究均一致指出，受制於國內環境意識與法規起步較晚，完成碳盤查的上市櫃公司樣本數量有限，造成目前研究資料面的限制。

本研究以2002年至2022年作為樣本區間，先在美國股市中以碳排相關變數排序並建構多空股票投資組合，驗證是否存在碳報酬異常。隨後，將這些投資組合作為驗證臺灣市場碳相關風險的代理因子，對臺灣上市櫃企業進行迴歸分析，擷取每月各公司過去36個月的滾動beta值後，以此作為排序變數建立多空股票投資組合，進一步探討臺灣股市中是否存在碳報酬異常。

本研究對美國市場驗證之結果為碳報酬不顯著存在，原因主為樣本區間涵蓋新冠肺炎期間，造成碳排與股價關聯的變動。至於臺灣股市，同樣為不顯著，除疫情影響外，歸納原因有二：一、臺灣市場未獲得大型投資及評等機構投注足夠資源，投資人難以取得ESG相關資訊；二、主管機關對ESG、碳揭露議題規範較為寬鬆，不足以揚起投資人對企業碳排的關注。

As climate change becomes increasingly severe, companies' carbon emissions are becoming a focal point of concern for stakeholders. Despite the accumulation of numerous researches in Taiwan that discuss the correlation between emissions and stock prices, numerous domestic studies consistently indicate that due to a later start in environmental awareness and regulations, the number of listed companies that have completed carbon inventory is limited, resulting in limitations in these researches.

This study takes the period from 2002 to 2022 as the sample interval. First, carbon-related variables are ranked and long-short portfolios are constructed in the U.S. stock market to verify the existence of carbon premiums. Subsequently, these portfolios are used as proxies to verify Taiwan's carbon premiums. Regression analysis is conducted on Taiwan's listed companies. Rolling beta for each company over the past 36 months are extracted and used as ranking variables to establish long-short portfolios. This further explores whether there are carbon premiums in Taiwan.

The verification results in the U.S. show that carbon premiums are insignificant due to the sample interval covering the period of COVID-19, causing fluctuations in the carbon-price relationship. As for Taiwan, similar insignificance is observed. In addition to the pandemic, two reasons can be summarized: First, the Taiwan market has not received sufficient investment resources from major investment institutions, making it difficult for investors to obtain ESG-related information. Second, regulatory standards for carbon disclosure are lenient, which is not enough to raise concerns about emissions.

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