What Is the Carbon Premium a Premium On?
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Series
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SpeakerMarcin Kacperczyk (Imperial College London)
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FieldFinance, Accounting and Finance
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LocationVrije Universiteit Amsterdam, De Boelelaan 1105, room tba
Amsterdam -
Date and time
October 07, 2026
12:45 - 14:00
Abstract
I develop an asset-pricing framework in which climate premia depend on the price of risk and on how firm characteristics map into cash-flow exposure. Which characteristics are priced is therefore a question about economic mechanisms, not proxy selection. The framework characterizes when a scalar characteristic is sufficient for priced exposure: normalized exposure must be measurable with respect to that characteristic. Applying this criterion to emission intensity yields two testable implications, spanning and scale invariance. Both are rejected in international firm-level data: the intensity premium varies with firm size, and emission levels carry independent information conditional on firm value. Single authored paper.